The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

DOI10.1051/jp1:1994233zbMath0944.91510OpenAlexW2069913491MaRDI QIDQ4292472

Jean-Philippe Bouchaud, Didier Sornette

Publication date: 21 July 1994

Published in: Journal de Physique I (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/55d33cec9dc277f077c213c59e62cbdbece6ac1c

zbMATH Keywords

portfoliooptimal strategyriskjump processesEuropean call optionARCH processesIto stochastic calculuscorrelated Gaussian processeslow-Brownian stochastic processrisk-corrected option pricestransactioncosts

Mathematics Subject Classification ID

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

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