AN ANALYTICAL APPROACH TO MERTON'S RATIONAL OPTION PRICING THEORY

DOI10.1142/S0219530508001110zbMath1152.91507MaRDI QIDQ3521629

Pablo Padilla, Rocio Elizondo

Publication date: 26 August 2008

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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Translatable radii of an operator in the direction of another operator II

Cites Work

• Unnamed Item
• Unnamed Item
• An actuarial approach to option pricing under the physical measure and without market assumptions
• Elliptic Partial Differential Equations of Second Order
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• On the alexandroff‐bakelman‐pucci estimate and the reversed hölder inequality for solutions of elliptic and parabolic equations
• On the method of moving planes and the sliding method
• A Two‐Person Game for Pricing Convertible Bonds

This page was built for publication: AN ANALYTICAL APPROACH TO MERTON'S RATIONAL OPTION PRICING THEORY