Xue Hong
Abstract
By means of stochastic different equation and martingale methods, we deal with Multi-dimensional Black-Scholes Pricing Model with stochastic lives. Then, the pricing formula of Europe option and other contingent claim are obtained. Finally, we generalize Black-Scholes Pricing Model.
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By means of stochastic different equation and martingale methods, we deal with Multi-dimensional Black-Scholes Pricing Model with stochastic lives. Then, the pricing formula of Europe option and other contingent claim are obtained. Finally, we generalize Black-Scholes Pricing Model.
Key concepts: Martingale pricing, Black–Scholes model, Martingale (probability theory), Mathematics, Applied mathematics, Mathematical economics, Valuation of options, Stochastic modelling