Hedge portfolios and the black-scholes equations

DOI10.1080/07362998408809024zbMath0554.60078OpenAlexW2085023307MaRDI QIDQ3217391

William J. Anderson

Publication date: 1984

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362998408809024

zbMATH Keywords

martingalehedge portfolioriskless

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic integral equations (60H20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• A note on reflecting boundaries for solutions of stochastic differential equations
• On Square Integrable Martingales
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