
Remarks on the pricing of contingent claims under constraints
Bensoussan, Alain (2004), Remarks on the pricing of contingent claims under constraints, IEEE Transactions on Automatic Control, 49, 3, p. 433-441. http://dx.doi.org/10.1109/TAC.2004.824475
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Article accepté pour publication ou publiéDate
2004Journal name
IEEE Transactions on Automatic ControlVolume
49Number
3Publisher
IEEE
Pages
433-441
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Bensoussan, AlainAbstract (EN)
The study of the pricing of contingent claims under constraints leads, in the case of stocks obeying lognormal distributions, to an interesting analytical result. Namely, the price satisfies the Black Scholes equation with a different initial condition. We give a mostly analytical treatment of this result, using the probabilistic interpretation of the Cauchy problem, with nonsmooth initial conditions.Subjects / Keywords
Cauchy problem; Black Scholes equationRelated items
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