Stochastic differential equations in finance
From MaRDI portal
Publication:5899819
DOI10.1016/0096-3003(90)90041-ZzbMath0701.90007OpenAlexW2007434528MaRDI QIDQ5899819
Publication date: 1990
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0096-3003(90)90041-z
Economic growth models (91B62) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- A Theory of the Term Structure of Interest Rates
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
- Option pricing when underlying stock returns are discontinuous
- Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative
This page was built for publication: Stochastic differential equations in finance