scientific article; zbMATH DE number 1548491
Black-Scholes formulaexotic optionsfinite difference methodsItô calculusmartingale methodMonte Carlo methodspartial differential equationsportfolio optimizationportfolio problempricing of optionsstochastic control methodtree methods
Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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