Existence and Uniqueness of Martingale Solutions to Option Pricing Equations with Noise |
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Authors: | Zhao Jun Zhou Ru Zhao Peibiao |
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Affiliation: | 1.Department of Applied Mathematics, Nanjing University of Science and Technology, Nanjing, 210094, Jiangsu, China ; |
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Abstract: | Lithuanian Mathematical Journal - We introduce a new option pricing equation with noise in a frictional financial market, which is fully different from the classical option pricing equation, and... |
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