The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes (Q4292472)
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scientific article; zbMATH DE number 583778
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| English | The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes |
scientific article; zbMATH DE number 583778 |
Statements
The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes (English)
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21 July 1994
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European call option
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Ito stochastic calculus
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low-Brownian stochastic process
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ARCH processes
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jump processes
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correlated Gaussian processes
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optimal strategy
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risk
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portfolio
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risk-corrected option prices
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transactioncosts
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0.8096580505371094
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0.8064706325531006
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0.8052239418029785
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