scientific article; zbMATH DE number 845007

MaRDI QIDQ4865494zbMATH OpenFDO

Authors Damien Lamberton, Bernard Lapeyre

Publication date 14 February 1996

zbMATH Keywords

American optionsBlack-Scholes formulaequivalent martingale measureEuropean call optionfinancial mathematicsGirsanov transformationstochastic differential equationstrading strategies

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01)

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(16)

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