Trading Strategy Adipted Optimization of European Call Option

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Optimal pricing of European call option is described by linear stochastic differential equation. Trading strategy given by a twin of stochastic variables was integrated w.r.t. Black-Scholes formula to adopt optimal pricing to tarading strategy.
AMS-LaTeX, 3 pages

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Optimization and Control, Probability, Z369TZ-WLCX7W

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http://salesiana.dossiersoluciones.com/handle/123456789/74578

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0503444
 http://arxiv.org/abs/math/0503444

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arXiv