Stochastic differential equations in finance

DOI10.1016/0096-3003(90)90041-ZzbMath0701.90007OpenAlexW2007434528MaRDI QIDQ5899819

Keith P. Sharp

Publication date: 1990

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(90)90041-z

zbMATH Keywords

stocksdiffusion modelsbond prices

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Darboux integrability of a nonlinear financial system

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous
• Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative

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