Forward equations for option prices in semimartingale models
Amel Bentata, Rama Cont
| Year of publication: |
July 2015
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|---|---|
| Authors: | Bentata, Amel ; Cont, Rama |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 3, p. 617-651
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| Subject: | Forward equation | Dupire equations | Jump process | Semimartingale | Tanaka-Meyer formula | Markovian projection | Call option | Option pricing | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Martingal | Martingale | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility | Derivat | Derivative | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-015-0265-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011418317