Generalisation of Black-Scholes model

zbMATH Open1164.91332MaRDI QIDQ3607003FDOQ3607003

Authors: Svitlana A. Kovtun 

Publication date: 28 February 2009

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zbMATH Keywords

optionminimal hedgerandom processes with independent increments

Mathematics Subject Classification ID

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

Cited In (10)

• Black-Scholes model under subordination
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• A generalized option pricing model
• Extensions of Black-Scholes processes and Benford's law
• A complete-market generalization of the Black-Scholes model
• HEDGING STRATEGY WITH LANGEVIN EVOLUTION
• Black portfolio analysis for model of evolution of the price of shares with generalized Poisson processes and for Samuelson models
• Hedge portfolios and the black-scholes equations
• Title not available (Why is that?)
• Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time

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