scientific article

zbMath1153.91540MaRDI QIDQ3599609

Jian-Zhong Lin, Zhong-Xing Ye

Publication date: 9 February 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Closed-form optimal strategies of continuous-time options with stochastic differential equations

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