Black-Scholes Option Pricing within Itô and Stratonovich Conventions¶
Perelló, J., Porrà, J. M., Montero, M., & Masoliver, J. (2000). Black-Scholes Option Pricing within Itô and Stratonovich Conventions. Physica A.
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1 citation across 1 artifact.
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Domain-specific¶
- Itô's formula
- The $h_XdX$ term already contains the contribution of the drift $f$; adding a second $fh_Xdt$ outside it would double-count that contribution.
This sourceConsulted the full author preprint, especially §2 Eqs. (2), (4), (11)–(12), (19)–(20), §3 Eq. (24), §4.1 Eqs. (31)–(35), and Appendix B. The Itô calculation is the paper's reviewed classical route; its new comparison develops the Stratonovich route.
- The $h_XdX$ term already contains the contribution of the drift $f$; adding a second $fh_Xdt$ outside it would double-count that contribution.
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