Stochastic Integrals and Differential Equations

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 2004 English Publisher:Springer International Publishing

Authors: Jürgen Franke; Wolfgang Karl Härdle; Christian Matthias Hafner;

doi: 10.1007/978-3-030-13751-9_5 , 10.1007/978-3-662-10026-4_5 , 10.1007/978-3-642-16521-4_5 , 10.1007/978-3-642-54539-9_5

Stochastic Integrals and Differential Equations

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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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