The infinite dimensional Henstock integral and problems of Black-Scholes expectation. (English) Zbl 1042.28012

Using arguments which apply equally well to the study of Brownian motion and Feynman integrals, the relationship between two expressions that arise in derivative asset pricing theory is examined. Detailed explanations are given for some of the key points in the theory of Henstock integrals in function spaces.


28C20 Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.)
60H05 Stochastic integrals
81S40 Path integrals in quantum mechanics
91B28 Finance etc. (MSC2000)
26A39 Denjoy and Perron integrals, other special integrals
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