scientific article; zbMATH DE number 1046006

zbMATH Open0881.60042MaRDI QIDQ4347601FDOQ4347601

Authors: Andrzej Mạdrecki 

Publication date: 10 February 1998

Title of this publication is not available (Why is that?)

Recommendations

• A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL
• Generalisation of Black-Scholes model
• Option pricing for a logstable asset price model
• Stability behavior of some well-known stochastic financial models

zbMATH Keywords

Black-Scholes modelIto formulaGirsanov type theoremsStock exchange prices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Generalizations of martingales (60G48) Economic growth models (91B62) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

Cited In (3)

• A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL
• Stability behavior of some well-known stochastic financial models
• Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4347601)