scientific article; zbMATH DE number 1548491

Publication date: 4 January 2001

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Monte Carlo methods finite difference methods partial differential equations portfolio optimization Black-Scholes formula exotic options Itô calculus martingale method tree methods portfolio problem pricing of options stochastic control method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Portfolio theory (91G10)

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