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Option Price When the Stock is a Semimartingale

   
@article{ECP1049,
	author = {Fima Klebaner},
	title = {Option Price When the Stock is a Semimartingale},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {7},
	year = {2002},
	keywords = {Black-Scholes formula, Meyer-Tanaka formula,semimartingales.},
	abstract = {The purpose of this note is to give a PDE  satisfied by a call option when the price process is a semimartingale. The main result generalizes the PDE  in the case when the stock price is a diffusion. Its proof uses Meyer-Tanaka and occupation density formulae. Presented approach also gives a new insight into the classical Black-Scholes formula. Rigorous proofs of some known results are also given.},
	pages = {no. 8, 79-83},
	issn = {1083-589X},
	doi = {10.1214/ECP.v7-1049},    
        url = {http://ecp.ejpecp.org/article/view/1049}}