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2002 Option Price When the Stock is a Semimartingale
Fima Klebaner
Author Affiliations +
Electron. Commun. Probab. 7: 79-83 (2002). DOI: 10.1214/ECP.v7-1049

Abstract

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.

Citation

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Fima Klebaner. "Option Price When the Stock is a Semimartingale." Electron. Commun. Probab. 7 79 - 83, 2002. https://doi.org/10.1214/ECP.v7-1049

Information

Accepted: 31 January 2002; Published: 2002
First available in Project Euclid: 16 May 2016

zbMATH: 1008.60057
MathSciNet: MR1887176
Digital Object Identifier: 10.1214/ECP.v7-1049

Subjects:
Primary: 60G35
Secondary: 91B28

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