AN ANALYTICAL APPROACH TO MERTON'S RATIONAL OPTION PRICING THEORY

DOI10.1142/S0219530508001110MaRDI QIDQ3521629zbMATH OpenFDO

Authors Rocio Elizondo, Pablo Padilla

Publication date 26 August 2008

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

Full work available at URL https://doi.org/10.1142/S0219530508001110

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Fast Numerical Method for the Black--Scholes Equation of American Options
• A Two‐Person Game for Pricing Convertible Bonds
• An actuarial approach to option pricing under the physical measure and without market assumptions
• Elliptic Partial Differential Equations of Second Order
• scientific article; zbMATH DE number 1181255 (Why is no real title available?)
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• On the alexandroff‐bakelman‐pucci estimate and the reversed hölder inequality for solutions of elliptic and parabolic equations
• On the method of moving planes and the sliding method

Cited in

(3)

• Translatable radii of an operator in the direction of another operator. II
• Option pricing with Weyl-Titchmarsh theory
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)

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