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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)

MSC:

60H30 Applications of stochastic analysis (to PDEs, etc.)
91G20 Derivative securities (option pricing, hedging, etc.)
60G40 Stopping times; optimal stopping problems; gambling theory

Citations:

Zbl 0833.60064
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