scientific article; zbMATH DE number 5496999
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Publication:5504848
Black-Scholes equationBrownian motionFokker-Plack equationIto's formulaKolmogorov backward equationMatlab/Scilaboption pricestochastic differential equationstochastic integral
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic analysis (60Hxx) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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