scientific article; zbMATH DE number 1210652

zbMATH Open0912.60064MaRDI QIDQ4213630FDOQ4213630

Authors: M. Mania 

Publication date: 18 May 1999

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zbMATH Keywords

stochastic differential equationBlack-Scholes equationMarkov propertysecurity market modelItô processbond price process

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Decision theory (91B06) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cited In (4)

• A generalized Black-Scholes equation without Itô calculus
• Asset pricing with stochastic volatility
• Backward stochastic partial differential equations related to utility maximization and hedging
• Derivation of the Black–Scholes Equation from Basic Principles

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