Actuarial bridges to dynamic hedging and option pricing (Q1381457): Difference between revisions
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Revision as of 03:08, 5 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)
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17 March 1998
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option-pricing theory
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risk-neutral measure
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dynamic hedging
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Wiener process
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perpetual American options
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optional sampling theorem
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optimal stopping
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high contact condition
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smooth pasting condition
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arbitrage
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Esscher transforms
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security prices
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fundamental theorem of asset pricing
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equivalent martingale measure
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self-financing replicating portfolios
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Poisson process model
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Margrabe option
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