The dX(t)=Xb(X) dt+X (X) dW equation and financial mathematics. II

MaRDI QIDQ5389733zbMATH OpenFDO

Authors Petr Dostal, Josef Štěpán

Publication date 23 April 2012

Full work available at URL https://eudml.org/doc/33674, http://www.kybernetika.cz/content/2003/6/681

zbMATH Keywords

stochastic differential equationstochastic volatilitypriceEuropean call optionMonte Carlo approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)

Recommendations

• scientific article; zbMATH DE number 6026962
• Option price when the stock is a semimartingale
• Stochastic differential equations in finance
• Forward equations for option prices in semimartingale models
• scientific article; zbMATH DE number 2169711

Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 6026962 (Why is no real title available?)
• Stochastic volatility, jumps and hidden time changes

Cited in

(2)

• scientific article; zbMATH DE number 6026962 (Why is no real title available?)
• scientific article; zbMATH DE number 5269097 (Why is no real title available?)

This page was built for publication: The \({\text d}X(t)=Xb(X){\text d}t+X\sigma (X){\text d}W\) equation and financial mathematics. II

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5389733)