A Stochastic Control Approach to the Pricing of Options

DOI10.1287/moor.15.1.49zbMath0706.90004MaRDI QIDQ3487095

Robert R. Jensen, Emmanuel Nicholas Barron

Publication date: 1990

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.15.1.49

zbMATH Keywords

Black-Scholes equation; call option; evolution of stock price

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B62: Economic growth models

93E20: Optimal stochastic control

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