Option pricing and perfect hedging on correlated stocks

Physica A: Statistical Mechanics and its Applications

Volumn 330, Issue 3-4, 2003, Pages 622-652

  Perelló, Josep ^a   Masoliver, Jaume ^a  

^a UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Colored noise; Econophysics; Option pricing; Stochastic differential equations

Indexed keywords

CORRELATION METHODS; COSTS; DIFFERENTIAL EQUATIONS; INVENTORY CONTROL; PROBLEM SOLVING; RANDOM PROCESSES;

ECONOPHYSICS;

INDUSTRIAL ECONOMICS;

EID: 0242522916     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(03)00619-8     Document Type: Article

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