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Option Price When the Stock is a Semimartingale


 
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1. Title Title of document Option Price When the Stock is a Semimartingale
 
2. Creator Author's name, affiliation, country Fima Klebaner; University Melbourne
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Black-Scholes formula, Meyer-Tanaka formula,semimartingales.
 
3. Subject Subject classification 60G35, 91B28
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2002-01-31
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1049
 
10. Identifier Digital Object Identifier 10.1214/ECP.v7-1049
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 7
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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