A Stochastic Control Approach to the Pricing of Options
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Publication:3487095
DOI10.1287/moor.15.1.49zbMath0706.90004MaRDI QIDQ3487095
Robert R. Jensen, Emmanuel Nicholas Barron
Publication date: 1990
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.15.1.49
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B62: Economic growth models
93E20: Optimal stochastic control
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