Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations

DOI10.1111/J.1751-5823.2004.TB00227.XzbMATH Open1171.91339OpenAlexW1988334116MaRDI QIDQ4832083FDOQ4832083

Authors: Héctor Allende, Carlos Elías, Soledad Torres 

Publication date: 3 January 2005

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/175550

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zbMATH Keywords

Black-Scholes modelStochastic differential equationsHedging strategyOptions prime

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• The pricing of options and corporate liabilities
• Adapted solution of a backward stochastic differential equation
• Title not available (Why is that?)

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