An extension of the Black-Scholes model of security valuation

DOI10.1016/0022-0531(88)90160-3zbMath0649.90019MaRDI QIDQ1106069

J. Darrell Duffie

Publication date: 1988

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(88)90160-3

zbMATH Keywords

price processes; diffusion dividend; market value of a security

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Approximation of Wiener integrals
• Hermite expansions in Monte-Carlo computation
• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
• Option pricing: A simplified approach
• Accurate Evaluation of Wiener Integrals
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