Volatility in options formulae for general stochastic dynamics
From MaRDI portal
Publication:2438860
DOI10.3934/dcdsb.2014.19.435zbMath1285.91128arXiv1306.0980WikidataQ57712731 ScholiaQ57712731MaRDI QIDQ2438860
Fima C. Klebaner, Kais Hamza, Olivia Mah
Publication date: 7 March 2014
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.0980
91B70: Stochastic models in economics
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work