Martingales and stochastic integrals in the theory of continuous trading

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Publication:1162768

DOI10.1016/0304-4149(81)90026-0zbMath0482.60097OpenAlexW2041550349WikidataQ55953135 ScholiaQ55953135MaRDI QIDQ1162768

Stanley R. Pliska, J. Michael Harrison

Publication date: 1981

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(81)90026-0


zbMATH Keywords

option pricingreview articlecontingent claims valuationcontinuous trading


Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Martingales with continuous parameter (60G44) Mathematical economics (91B99) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)


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