Some formulae for a new type of path-dependent option
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Publication:1901079
DOI10.1214/aoap/1177004769zbMath0834.90026MaRDI QIDQ1901079
Publication date: 1 April 1996
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177004769
91B24: Microeconomic theory (price theory and economic markets)
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
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