Analog of the black-scholes formula for option pricing under conditions of (b, s, x)-incomplete market of securities with jumps

DOI10.1007/BF02513144zbMath0971.60069MaRDI QIDQ2722131

A. V. Kalemanova, D. G. Zhuravyts'Kyj, Anatoliy Swishchuk

Publication date: 11 July 2001

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

Markov process; Feynman-Kac formula; Black-Scholes formula; random evolution process

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

91B70: Stochastic models in economics

60J60: Diffusion processes

91G20: Derivative securities (option pricing, hedging, etc.)

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