Publication:2737019
From MaRDI portal
zbMath0989.60056MaRDI QIDQ2737019
Richard J. Griego, Anatoliy Swishchuk
Publication date: 11 September 2001
Feynman-Kac formula; Black-Scholes formula; European call option; (B,S)-market; random evolution processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65: Brownian motion
91B24: Microeconomic theory (price theory and economic markets)
60J60: Diffusion processes
60J27: Continuous-time Markov processes on discrete state spaces
Related Items
The pricing of European options on two underlying assets with delays, The pricing of options for securities markets with delayed response, Bond pricing formulas for Markov-modulated affine term structure models
