Abstract
This chapter provides the tools which are used in option pricing. The field of stochastic processes in continuous time which are defined as solutions of stochastic differential equations plays an important role. To illustrate these notions we use repeatedly approximations by stochastic processes in discrete time and refer to the results from Chapter 4.
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© 2004 Springer-Verlag Berlin Heidelberg
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Franke, J., Härdle, W., Hafner, C.M. (2004). Stochastic Integrals and Differential Equations. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-10026-4_5
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DOI: https://doi.org/10.1007/978-3-662-10026-4_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-21675-9
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