Publication:5490684

zbMath1103.60059MaRDI QIDQ5490684

Qin Chang, Rong-Hua Li, Yonghong Dai

Publication date: 4 October 2006

zbMATH Keywords

stochastic differential equation; Girsanov theorem; martingale method

Mathematics Subject Classification ID

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

91G20: Derivative securities (option pricing, hedging, etc.)