scientific article; zbMATH DE number 6026962

MaRDI QIDQ5389732zbMATH OpenFDO

Authors Petr Dostal, Josef Štěpán

Publication date 23 April 2012

Full work available at URL https://eudml.org/doc/33673, http://www.kybernetika.cz/content/2003/6/653

zbMATH Keywords

\((b,\sigma )\)-stock priceinvestment processoption pricingSDE-theoryuniquenessweak solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

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Cited in

(2)

• scientific article; zbMATH DE number 5269097 (Why is no real title available?)
• The \({\text d}X(t)=Xb(X){\text d}t+X\sigma (X){\text d}W\) equation and financial mathematics. II

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