scientific article; zbMATH DE number 5852050
fundamental theorem of asset pricingstock pricestochastic differential equationrainbow optionmethod of imagesMellin transformlookback optionItô calculusGaussian random variableAsian optionexotic option pricingequivalent martingale measureBrownian motionbondBlack-Scholes economybinomial tree-based pricingbinary optionbarrier option
Initial value problems for PDEs and systems of PDEs with constant coefficients (35E15) Boundary value problems for second-order elliptic systems (35J57) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
- Exotic option pricing and advanced Lévy models.
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- Publication:4940649
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- Computation of robust option prices via structured multimarginal martingale optimal transport
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