The European option with hereditary price structures
type: Item
instance of: scholarly article
title: The European option with hereditary price structures
zbMATH Open document ID: 1083.91512
DOI: 10.1016/S0096-3003(98)10035-8
author: Mou-Hsiung Chang
author: Roger K. Youree
published in: Applied Mathematics and Computation
publication date: 1999-01-01T00:00:00Z
review text: The usual \((B,S)\)-market is generalized to allow for hereditary price structures by considering functional space evolution equations. By adapting the traditional tools like self-financing strategies and risk neutral martingale measures to this model the pricing of a European contingent claim is studied and the corresponding trading strategy is derived.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 34K50
Mathematics Subject Classification ID: 60H99
zbMATH DE Number: 1311038
zbMATH Keywords: option pricing
zbMATH Keywords: stochastic functional differential equation
reviewed by: Michael Kohlmann
MaRDI profile type: Publication
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full work available at URL: s0096-3003(98)10035-8
OpenAlex ID: W1989828105
description: scientific article; zbMATH DE number 1311038