| Título: | Option Price When the Stock is a Semimartingale |
| Autores: | Klebaner, Fima; University Melbourne |
| Fecha: | 2002-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Black-Scholes formula, Meyer-Tanaka formula,semimartingales. 60G35, 91B28 |
| Descripción: | The purpose of this note is to give a PDE satisfied by a call option when the price process is a semimartingale. The main result generalizes the PDE in the case when the stock price is a diffusion. Its proof uses Meyer-Tanaka and occupation density formulae. Presented approach also gives a new insight into the classical Black-Scholes formula. Rigorous proofs of some known results are also given. |
| Idioma: | No aplica |
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