A Generalization of Black-Scholes Formula A Generalization of Black-Scholes Formula

Shanjian Tang

Department of Mathematics, Fudan University, Shanghai, China (sjtangk@online.sh.cn)

Abstract

I shall talk about a new stochastic control model for hedging contingent claims, which implies a generalized Black-Scholes formula. The interesting point of this model is that it incorporates the fundamental information (knowledge about financial reports of enterprises, for example) of hedgers.


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On 12 May 1999, 00:52.