ARBITRAGE-FREE OPTION PRICING MODELS
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Publication:3644365
DOI10.1017/S144678870900007XzbMath1175.91173OpenAlexW2025159467MaRDI QIDQ3644365
Publication date: 4 November 2009
Published in: Journal of the Australian Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s144678870900007x
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Lie symmetry analysis for a parabolic Monge-Ampère equation in the optimal investment theory ⋮ Solutions and simulations of some one-dimensional stochastic differential equations ⋮ On the generation of arbitrage-free stock price models using Lie symmetry analysis ⋮ New candidates for arbitrage-free stock price models via generalized conditional symmetry method
Cites Work
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