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Some Problems Related to the Black-Scholes Type Security Markets

In: Stochastic Processes And Applications To Mathematical Finance

Author

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  • Jiongmin Yong

    (Department of Mathematics and Institute of Mathematical Finance, Fudan University, Shanghai 200433, China)

Abstract

In Black-Scholes type security markets, the completeness, arbitrage-free condition, pricing (European) contingent claims, etc. are thought to be well-understood by now. However, some careful studies show that the issue seems not to be as simple as expected. Problems related to the above-mentioned notions lead to several interesting questions for Itô's integrals and (backward) stochastic differential equations. In this paper, some relevant partial results will be presented and several open questions will be posed.

Suggested Citation

  • Jiongmin Yong, 2004. "Some Problems Related to the Black-Scholes Type Security Markets," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 18, pages 369-400, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812702852_0018
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