PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS (Q3400130): Difference between revisions
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| Property / author: Monique Jeanblanc-Picqué / rank | |||
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| Property / author: Monique Jeanblanc-Picqué / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / cites work: Double Lookbacks / rank | |||
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| Property / cites work: Hitting Lines with Two-Dimensional Brownian Motion / rank | |||
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| Property / cites work: A reflection principle for correlated defaults / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024909005592 / rank | |||
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| Property / OpenAlex ID: W2137276402 / rank | |||
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Latest revision as of 09:33, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS |
scientific article |
Statements
PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS (English)
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5 February 2010
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structural approach
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random dividend rates
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Brownian motion
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first passage time
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running minimum process
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strong Markov property
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European contingent claims
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full and partial information
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