Analog of the black-scholes formula for option pricing under conditions of (b, s, x)-incomplete market of securities with jumps

From MaRDI portal

Revision as of 13:33, 3 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:2722131

Jump to:navigation, search

DOI10.1007/BF02513144zbMath0971.60069MaRDI QIDQ2722131

A. V. Kalemanova, D. G. Zhuravyts'Kyj, Anatoliy Swishchuk

Publication date: 11 July 2001

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

Markov process Feynman-Kac formula Black-Scholes formula random evolution process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic models in economics (91B70) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

The pricing of options for securities markets with delayed response ⋮ Numerical methods for backward Markov chain driven Black-Scholes option pricing

This page was built for publication: Analog of the black-scholes formula for option pricing under conditions of (b, s, x)-incomplete market of securities with jumps

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:2722131&oldid=15576695"