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dc.contributor.authorBensoussan, Alain
dc.date.accessioned2011-05-02T10:05:13Z
dc.date.available2011-05-02T10:05:13Z
dc.date.issued2004
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6129
dc.language.isoenen
dc.subjectCauchy problemen
dc.subjectBlack Scholes equationen
dc.subject.ddc515en
dc.titleRemarks on the pricing of contingent claims under constraintsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe 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.en
dc.relation.isversionofjnlnameIEEE Transactions on Automatic Control
dc.relation.isversionofjnlvol49en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2004
dc.relation.isversionofjnlpages433-441en
dc.relation.isversionofdoihttp://dx.doi.org/10.1109/TAC.2004.824475en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherIEEEen
dc.subject.ddclabelAnalyseen


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