PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

DOI10.1111/J.0960-1627.2004.00195.XzbMath1134.91471OpenAlexW3125077141MaRDI QIDQ4673847

Virginia R. Young

Publication date: 9 May 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00195.x

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
• Pricing of Unit-linked Life Insurance Policies
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• The Mathematics of Financial Derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
• Catastrophe Risk Bonds
• Valuing Equity-Indexed Annuities

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