LI Xiaojun. The Lagrange Method and Option Pricing[J]. Chinese Journal of Applied Probability and Statistics, 2000, 16(4): 373-378.
Citation: LI Xiaojun. The Lagrange Method and Option Pricing[J]. Chinese Journal of Applied Probability and Statistics, 2000, 16(4): 373-378.
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The Lagrange Method and Option Pricing

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  • In this paper, we consider a stochastic optimal control problem with continuous time. First, the stochastic Lagrange method is set up. Then, we apply the method to the European option pricing.
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