Option pricing under general geometric Riemannian Brownian motions

DOI10.4134/BKMS.B150731zbMATH Open1349.91289OpenAlexW2546453340WikidataQ115216173 ScholiaQ115216173MaRDI QIDQ2828680FDOQ2828680

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

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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)

Cited In (4)

• A characterization of the geometric Brownian motion in terms of infinite dimensional Laplacians
• Arithmetic Brownian motion and real options
• Diffusion approximations of the geometric Markov renewal processes and option price formulas
• D-brane solutions under market panic

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