TIAN Jianbo, ZHENG Lin. Distribution of Q Process Integral and its Application in the Black and Scholes Equation[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(3): 303-312.
Citation:
TIAN Jianbo, ZHENG Lin. Distribution of Q Process Integral and its Application in the Black and Scholes Equation[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(3): 303-312.
TIAN Jianbo, ZHENG Lin. Distribution of Q Process Integral and its Application in the Black and Scholes Equation[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(3): 303-312.
Citation:
TIAN Jianbo, ZHENG Lin. Distribution of Q Process Integral and its Application in the Black and Scholes Equation[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(3): 303-312.
Distribution of Q Process Integral and its Application in the Black and Scholes Equation
Options are financial instruments designed to protect investors from the stock market randomness. In 1973, Black, Scholes and Merton proposed a very popular option pricing method using stochastic differential equations within the Itô interpretation. We give a analysis and numerical simulations for a Black and Scholes equation with Q process volatility.
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