Holger von Jouanne-Diedrich

Technical University Aschaffenburg

Germany

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Ito, Stratonovich and Friends

Number of pages: 17 Posted: 24 Apr 2017 Last Revised: 02 Jun 2017
Holger von Jouanne-Diedrich
Technical University Aschaffenburg
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Abstract:

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Stochastic process, stochastic calculus, stochastic integral, Ito integral, Stratonovich integral, stochastic differential equation (SDE), Jensen’s inequality, Ito’s lemma, Ito correction, Binomial tree, Taylor expansion, martingale, option pricing, convexity.