Stochastic Integrals and Differential Equations
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.
KeywordsStock Price Wiener Process Stock Prex Drift Rate Stochastic Integral
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