Actuarial bridges to dynamic hedging and option pricing (Q1381457): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/0167-6687(96)85007-4 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1976953378 / rank | |||
Normal rank | |||
Revision as of 01:38, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Actuarial bridges to dynamic hedging and option pricing |
scientific article |
Statements
Actuarial bridges to dynamic hedging and option pricing (English)
0 references
17 March 1998
0 references
option-pricing theory
0 references
risk-neutral measure
0 references
dynamic hedging
0 references
Wiener process
0 references
perpetual American options
0 references
optional sampling theorem
0 references
optimal stopping
0 references
high contact condition
0 references
smooth pasting condition
0 references
arbitrage
0 references
Esscher transforms
0 references
security prices
0 references
fundamental theorem of asset pricing
0 references
equivalent martingale measure
0 references
self-financing replicating portfolios
0 references
Poisson process model
0 references
Margrabe option
0 references
