LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING II: PATH-DEPENDENT CONTINGENT CLAIMS

DOI10.1142/S0219024901000869zbMath1153.91510arXivcond-mat/9907185OpenAlexW3125668629MaRDI QIDQ3523560

C. D. D. Neumann, Jiri K. Hoogland

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9907185

zbMATH Keywords

homogeneitypartial differential equationscale invariancecontingent claim pricing

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (2)

Pricing Asian options with stochastic volatility ⋮ From structural assumptions to a link between assets and interest rates

Cites Work

• Connecting discrete and continuous path-dependent options
• Pricing Options With Curved Boundaries¹
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

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