Option price when the stock is a semimartingale

Electronic Communications in Probability

Volumn 7, Issue , 2002, Pages 79-83

  Klebaner, Fima ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Black Scholes formula; Meyer Tanaka formula; Semimartingales

Indexed keywords

EID: 3042778296     PISSN: None     EISSN: 1083589X     Source Type: Journal    
DOI: 10.1214/ECP.v7-1049     Document Type: Article

References (7)

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3. Dupire, B. (1994) Pricing with a smile. Risk 7, 18-20.
4. Dupire, B. (1997) Pricing and hedging with smiles. in Mathematics of derivative securities. Dempster and Pliska eds., Cambridge Uni. Press, 103-112.
5. Klebaner, F.C. (1998) Introduction to Stochastic Calculus with Applications. Imperial College Press.
6. Protter P. (1992) Stochastic Integration and Differential Equations, Springer.
7. Shiryaev A.N. (1999) Essentials of Stochastic Finance, World Scientific, Singapore.