Some problems related to the Black-Scholes type security markets

DOI10.1142/9789812702852_0018zbMATH Open1322.91055OpenAlexW3123935174MaRDI QIDQ3576790FDOQ3576790

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

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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)

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

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