scientific article; zbMATH DE number 1996149

zbMATH Open1040.60048MaRDI QIDQ4431978FDOQ4431978

Massimiliano Giuli, Fabrizio Colombo, Vincenzo Vespri

Publication date: 2003

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

Recommendations

• scientific article; zbMATH DE number 1342033
• Semigroup theory applied to options
• A semigroup approach to generalized Black-Scholes type equations in incomplete markets
• A note on option pricing for the constant elasticity of variance model
• Pricing by hedging and no-arbitrage beyond semimartingales

zbMATH Keywords

contraction semigroupterm structure modelconstant elasticity model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) One-parameter semigroups and linear evolution equations (47D06)

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 Q4431978)