Black-Scholes option pricing within Ito and Stratonovich conventions

Physica A: Statistical Mechanics and its Applications

Volumn 278, Issue 1, 2000, Pages 260-274

  Perello J ^a   Porra J M ^a,b   Montero, M ^a   Masoliver, J ^a  

^a UNIVERSITY OF BARCELONA   (Spain)

^b SVB SA   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; DIFFERENTIAL EQUATIONS; DIFFERENTIATION (CALCULUS); FINANCE; MARKETING;

BLACK-SCHOLES THEORY; OPTION PRICING; STRATONOVICH CALCULUS;

NUMERICAL METHODS;

EID: 0033892381     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(99)00612-3     Document Type: Article

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