Option pricing and hedge portfolios for poisson progresses (Q3475093): Difference between revisions
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| Property / cites work: Contingent claims valuation when the security price is a combination of an Itō process and a random point process / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank | |||
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| Property / cites work: Option pricing when underlying stock returns are discontinuous / rank | |||
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Latest revision as of 14:21, 20 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing and hedge portfolios for poisson progresses |
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Option pricing and hedge portfolios for poisson progresses (English)
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1990
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price processes
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Poisson processes
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European call options
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stochastic flows
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martingale representation
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hedging portfolio
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