IJPAM: Volume 21, No. 3 (2005)
ON THE FÖLLMER-SCHWEIZER-BARLOW MODEL
George Stoica
Department of Mathematical Sciences
University of New Brunswick
P.O. Box 5050, Saint John, NB, E2L 4L5, CANADA
e-mail: stoica@unbsj.ca
Department of Mathematical Sciences
University of New Brunswick
P.O. Box 5050, Saint John, NB, E2L 4L5, CANADA
e-mail: stoica@unbsj.ca
Abstract.We consider the Föllmer-Schweizer-Barlow microeconomic
model, characterize the no-arbitrage situation, analyse the spectrum of the underlying process, and provide a series expansion for the associated option prices.
Received: May 12, 2005
AMS Subject Classification: 91B26, 91B24, 91B28, 91B70, 60J60, 34B24
Key Words and Phrases: diffusion, mixed boundaries, spectrum, no-arbitrage, option price
Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2005
Volume: 21
Issue: 3
