Martingales versus PDEs in finance: An equivalence result with examples

被引：64

作者：

Heath, D

Schweizer, M

机构：

[1] Univ Technol Sydney, Sydney, NSW 2007, Australia

[2] Tech Univ Berlin, Fachbereich Math, D-10623 Berlin, Germany

来源：

JOURNAL OF APPLIED PROBABILITY | 2000年 / 37卷 / 04期

关键词：

option valuation; martingale approach; partial differential equations; finance; Feynman-Kac formula;

D O I：

10.1017/S0021900200018143

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We provide a set of verifiable sufficient conditions for proving in a number of practical examples the equivalence of the martingale and the PDE approaches to the valuation of derivatives. The key idea is to use a combination of analytic and probabilistic assumptions that covers typical models in finance falling outside the range of standard results from the literature. Applications include Heston's stochastic volatility model and the Black-Karasinski term structure model.

引用

页码：947 / 957

页数：11

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