OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS (Q3126239)
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scientific article; zbMATH DE number 994131
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| English | OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS |
scientific article; zbMATH DE number 994131 |
Statements
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS (English)
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23 March 1997
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unique martingale measures
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market completeness
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arbitrage pricing
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option pricing
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term-structure-related securities
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design of dynamic portfolio management strategies
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Brownian motions
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0.7725677490234375
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0.7679432034492493
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0.7503838539123535
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0.7396258115768433
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