Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V. Toward the theory of pricing of options of both European and American types. II: Continuous time. (English. Russian original) Zbl 0833.60065 Theory Probab. Appl. 39, No. 1, 61-102 (1994); translation from Teor. Veroyatn. Primen. 39, No. 1, 80-129 (1994). From the authors’ summary: This is a continuation of part I (see the paper reviewed above). The continuous time case is considered. The Black- Scholes formula is deduced for standard cell options of European type. Several other concrete pricing examples are considered which concern options of European as well as American types. Reviewer: M.Jerschow (Essen) Cited in 2 ReviewsCited in 13 Documents MSC: 60H30 Applications of stochastic analysis (to PDEs, etc.) 91G20 Derivative securities (option pricing, hedging, etc.) 60G40 Stopping times; optimal stopping problems; gambling theory Keywords:risk and riskless stocks and bonds; hedge strategies; optimal stopping; Black-Scholes formula; options of European as well as American types Citations:Zbl 0833.60064 PDF BibTeX XML Cite \textit{A. N. Shiryaev} et al., Teor. Veroyatn. Primen. 39, No. 1, 80--129 (1994; Zbl 0833.60065); translation from Teor. Veroyatn. Primen. 39, No. 1, 80--129 (1994) OpenURL