Abstract
This chapter provides the tools needed for option pricing. The field of stochastic processes in continuous time, which are defined as solutions of stochastic differential equations, has an important role to play.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Karatzas, I., & Shreve, S. (1999). Brownian motion and stochastic calculus. Heidelberg: Springer-Verlag.
Mikosch, T. (1998). Elementary stochastic calculus with finance in view. Singapore: World Scientific.
von Weizsäcker, H., & Winkler, G. (1990). Stochastic integrals. Braunschweig: Vieweg.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2019 Springer Nature Switzerland AG
About this chapter
Cite this chapter
Franke, J., Härdle, W.K., Hafner, C.M. (2019). Stochastic Integrals and Differential Equations. In: Statistics of Financial Markets. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-13751-9_5
Download citation
DOI: https://doi.org/10.1007/978-3-030-13751-9_5
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-13750-2
Online ISBN: 978-3-030-13751-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)