Martingales versus PDEs in finance: an equivalence result with examples
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Publication:2725292
DOI10.1239/jap/1014843075zbMath0996.91069OpenAlexW2039511516MaRDI QIDQ2725292
David C. Heath, Martin Schweizer
Publication date: 6 November 2002
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6c8cbf16b4359fce762ad4798a58d8e3d52f08e8
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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