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. To illustrate these notions we use repeated approximations by stochastic processes in discrete time and refer to the results from Chapter 4.
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5.6 Recommended Literature
Karatzas, I. and Shreve, S. (1999). Brownian motion and stochastic calculus, Springer-Verlag, Heidelberg.
Mikosch, T. (1998). Elementary stochastic calculus with finance in view, World Scientific, Singapore.
von Weizsäcker, H. and Winkler, G. (1990). Stochastic integrals, Vieweg, Braunschweig.
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(2008). Stochastic Integrals and Differential Equations. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-76272-0_5
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DOI: https://doi.org/10.1007/978-3-540-76272-0_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-76269-0
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