Pricing of European options in incomplete jump diffusion markets

arXiv2012.09577MaRDI QIDQ6356332

Bernt Øksendal, Nacira Agram

Publication date: 17 December 2020

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Actuarial science and mathematical finance (91Gxx)

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