Stochastic differential equations in finance
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Publication:5925253
DOI10.1016/0096-3003(90)90009-RzbMath0719.90008OpenAlexW4237143136MaRDI QIDQ5925253
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)90009-r
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Related Items (4)
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Cites Work
- 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
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