Klebaner, Fima Option price when the stock is a semimartingale. (English) Zbl 1008.60057 Electron. Commun. Probab. 7, Paper No. 8, 79-83 (2002). Summary: The purpose of this note is to give a PDE satisfied by a call option when the price process is a semimartingale. The main result generalizes the PDE in the case when the stock price is a diffusion. Its proof uses Meyer-Tanaka and occupation density formulae. The presented approach also gives a new insight into the classical Black-Scholes formula. Rigorous proofs of some known results are also given. Cited in 17 Documents MSC: 60G35 Signal detection and filtering (aspects of stochastic processes) 91B28 Finance etc. (MSC2000) Keywords:Black-Scholes formula; Meyer-Tanaka formula; semimartingales PDFBibTeX XMLCite \textit{F. Klebaner}, Electron. Commun. Probab. 7, Paper No. 8, 79--83 (2002; Zbl 1008.60057) Full Text: DOI EuDML EMIS