Hedge portfolios and the black-scholes equations

DOI10.1080/07362998408809024zbMath0554.60078OpenAlexW2085023307MaRDI QIDQ3217391

William J. Anderson

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1080/07362998408809024

zbMATH Keywords

martingalehedge portfolioriskless

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic integral equations (60H20)

Related Items (1)

Contingent claims valuation when the security price is a combination of an Itō process and a random point process

Cites Work

• The Pricing of Options and Corporate Liabilities
• A note on reflecting boundaries for solutions of stochastic differential equations
• On Square Integrable Martingales
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