Controllability and hedgibility of Black-Scholes equations with N stocks

DOI10.1007/S10440-009-9548-8zbMATH Open1198.91213OpenAlexW2062546381MaRDI QIDQ983690FDOQ983690

Authors: J. Martínez 

Publication date: 24 July 2010

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-009-9548-8

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zbMATH Keywords

volatilitycontrollabilityobservabilityinitial boundary value problemBlack-Scholes equationssecond order differential operatorhedgibility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving partial differential equations (49K20) Optimal stochastic control (93E20)

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Cited In (4)

• Title not available (Why is that?)
• Controllabilty and stability analysis on a group associated with Black-Scholes equation
• Title not available (Why is that?)
• Control of the Black-Scholes equation

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