On Comparison Theorem and its Applications to Finance

DOI10.1007/978-3-642-02608-9_8zbMath1191.60041OpenAlexW79303200MaRDI QIDQ3400714

Vladislav Krasin, Alexander V. Melnikov

Publication date: 5 February 2010

Published in: Optimality and Risk - Modern Trends in Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-02608-9_8

zbMATH Keywords

comparison theoremoption pricingstochastic differential equations

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes ⋮ On comparison theorem for optional SDEs via local times and applications ⋮ A comparison theorem for stochastic equations of optional semimartingales ⋮ Stationary distribution and ergodicity of a stochastic hybrid competition model with Lévy jumps ⋮ Comparison theorems for some backward stochastic Volterra integral equations ⋮ The martingale comparison method for Markov processes ⋮ Stochastic viability and comparison theorems for mixed stochastic differential equations

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