Option pricing under general geometric Riemannian Brownian motions

DOI10.4134/BKMS.B150731MaRDI QIDQ2828680zbMATHOpenAlexWikidataFDO

Authors Yong-Chao Zhang

Publication date 26 October 2016

Published in Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL http://www.mathnet.or.kr/mathnet/kms_content.php?no=468032

zbMATH Keywords

option pricingstochastic differential equationsStratonovich integralgeometric Riemannian Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes and stochastic analysis on manifolds (58J65) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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(4)

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• A characterization of the geometric Brownian motion in terms of infinite dimensional Laplacians
• D-brane solutions under market panic
• Arithmetic Brownian motion and real options

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