Some problems related to the Black-Scholes type security markets

DOI10.1142/9789812702852_0018MaRDI QIDQ3576790zbMATH OpenOpenAlexFDO

Authors Jiongmin Yong

Publication date 2 August 2010

Published in Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789812702852_0018

zbMATH Keywords

backward stochastic differential equationcompletenesspricing formulaarbitrage-freeBlack-Scholes market modelItô integral

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• The multivariate Black \& Scholes market: conditions for completeness and no-arbitrage
• Completeness of security markets and solvability of linear backward stochastic differential equations
• Completeness of security markets and backward stochastic differential equations with unbounded coefficients
• An extension of the Black-Scholes model of security valuation
• scientific article; zbMATH DE number 880600

Cited in

(3)

• Representation of Itô integrals by Lebesgue/Bochner integrals
• The multivariate Black \& Scholes market: conditions for completeness and no-arbitrage
• Completeness of security markets and backward stochastic differential equations with unbounded coefficients

This page was built for publication: Some problems related to the Black-Scholes type security markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3576790)