Existence and Uniqueness of Martingale Solutions to Option Pricing Equations with Noise

Zhao, J; Zhou, R; Zhao, PB

Zhao, PB (corresponding author), Nanjing Univ Sci & Technol, Dept Appl Math, Nanjing 210094, Jiangsu, Peoples R China.

LITHUANIAN MATHEMATICAL JOURNAL, 2020; 60 (4): 562

Abstract

We introduce a new option pricing equation with noise in a frictional financial market, which is fully different from the classical option pricing equ......

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