Stochastic time changes in catastrophe option pricing (Q1381450): Difference between revisions

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-Hélyette Geman
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+Hélyette Geman
@@ Property / author: Hélyette Geman / rank @@
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+MaRDI publication profile
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+A martingale approach to premium calculation principles in an arbitrage free market
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
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+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+Optimal portfolio for a small investor in a market model with discontinuous prices
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+Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
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+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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