scientific article; zbMATH DE number 6026962

zbMath1249.91128MaRDI QIDQ5389732

Petr Dostal, Josef Stepan

Publication date: 23 April 2012

Full work available at URL: https://eudml.org/doc/33673

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

weak solutionuniquenessoption pricinginvestment process\((b,\sigma )\)-stock priceSDE-theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic modeling in economics and finance.
• Stochastic volatility, jumps and hidden time changes
• On a new approach to calculating expectations for option pricing
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