Martingales versus PDEs in finance: An equivalence result with examples

Journal of Applied Probability

Volumn 37, Issue 4, 2000, Pages 947-957

  Heath, David ^a   Schweizer, Martin ^b  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Feynman Kac formula; Finance; Martingale approach; Option valuation; Partial differential equations

Indexed keywords

EID: 85037764836     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200018143     Document Type: Article

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