LIMITATIONS AND MODIFICATIONS OF BLACK-SCHOLES MODEL

DOI10.1142/9789812702395_0007MaRDI QIDQ5310122zbMATH OpenOpenAlexFDO

Authors Xuemin Ren, Lishang Jiang

Publication date 19 September 2007

Published in Differential Equations and Asymptotic Theory in Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789812702395_0007

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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