A Stochastic Control Approach to the Pricing of Options
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Publication:3487095
DOI10.1287/moor.15.1.49zbMath0706.90004OpenAlexW2025050129MaRDI QIDQ3487095
Emmanuel Nicholas Barron, Robert R. Jensen
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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20)
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