scientific article; zbMATH DE number 5496999

zbMath1156.91001MaRDI QIDQ5504848

Anthony Roberts

Publication date: 22 January 2009

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

zbMATH Keywords

stochastic differential equationBrownian motionoption pricestochastic integralBlack-Scholes equationIto's formulaKolmogorov backward equationFokker-Plack equationMatlab/Scilab

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Stochastic analysis (60Hxx) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (3)

Regularization for the inverse problem of finding the purely time-dependent volatility ⋮ On an integration rule for products of barycentric coordinates over simplexes in \(\mathbb{R}^n\) ⋮ Probability-conservative simulation for \textit{Lévy} financial model by a mixed finite element method

Uses Software

• Matlab
• Scilab

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