A semigroup approach to no-arbitrage pricing theory: Constant elasticity variance model and term structure models. (Q4431978)
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scientific article; zbMATH DE number 1996149
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| English | A semigroup approach to no-arbitrage pricing theory: Constant elasticity variance model and term structure models. |
scientific article; zbMATH DE number 1996149 |
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2003
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contraction semigroup
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constant elasticity model
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term structure model
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0.8824599981307983
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0.7623191475868225
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0.7560020685195923
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0.7501213550567627
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0.7409084439277649
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A semigroup approach to no-arbitrage pricing theory: Constant elasticity variance model and term structure models. (English)
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The techniques of semigroup theory, in particular contraction semigroups, are successfully applied to the existence and regularity problem of the no-arbitrage price by means of PDE methods in constant elasticity model and term structure models. For the entire collection see [Zbl 1018.00011].
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