An extended set of risk neutral valuation relationships for the pricing of contingent claims (Q375471): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number: 6221284 / rank | |||
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HARA utility functions | |||
| Property / zbMATH Keywords: HARA utility functions / rank | |||
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risk neutral valuation relationships | |||
| Property / zbMATH Keywords: risk neutral valuation relationships / rank | |||
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displaced diffusion model | |||
| Property / zbMATH Keywords: displaced diffusion model / rank | |||
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three-parameter lognormal | |||
| Property / zbMATH Keywords: three-parameter lognormal / rank | |||
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Revision as of 10:26, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An extended set of risk neutral valuation relationships for the pricing of contingent claims |
scientific article |
Statements
An extended set of risk neutral valuation relationships for the pricing of contingent claims (English)
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30 October 2013
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HARA utility functions
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risk neutral valuation relationships
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displaced diffusion model
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three-parameter lognormal
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