Article citationsMore>>

Bjork, T. (1999) Arbitrage Theory in Continuous Time. Oxford University Press, Oxford.

has been cited by the following article:

• TITLE: Option Pricing with Stochastic Volatility

  AUTHORS: Rossano Giandomenico

  KEYWORDS: Contingent Claim, Stochastic Volatility, Ito’s Lemma, Cauchy problem, Bivariate

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.3 No.12, December 25, 2015

  ABSTRACT: The study analyses some problems arising in stochastic volatility models by using Ito’s lemma and its applications to boundary Cauchy problem by giving the solution of vanilla option pricing models satisfying the partial differential equation obtained by assuming stochastic volatility in replication problems and risk neutral probability.