A martingale approach to premium calculation principles in an arbitrage free market (Q758074): Difference between revisions

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Property / cites work: Term structure of interest rates: The martingale approach / rank
 
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Latest revision as of 16:05, 21 June 2024

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A martingale approach to premium calculation principles in an arbitrage free market
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    A martingale approach to premium calculation principles in an arbitrage free market (English)
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    1989
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    risk neutral probability distribution
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    predictable process
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    progressively equivalent probability distributions
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    arbitrage free model
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    martingale equivalent probability distributions
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    compound Poisson process
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    premium calculation principles
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