scientific article; zbMATH DE number 841285

MaRDI QIDQ4863379zbMATH OpenFDO

Authors Paul Wilmott, Jeff Dewynne, S. D. Howison

Publication date 4 February 1996

zbMATH Keywords

American optionsBlack-Scholes frameworkcontinuous timeEuropean optionsexotic optionsfinanceoption pricingpartial differential equationsput-call parity theoremWiener processes

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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