Toward the theory of pricing of options of both European and American types. II: Continuous time. (English. Russian original) Zbl 0833.60065

Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.

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

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