ONE FOR ALL The Potential Approach to Pricing and Hedging

DOI10.1007/3-540-28073-1_65MaRDI QIDQ3618338zbMATH OpenOpenAlexFDO

Authors L. C. G. Rogers

Publication date 31 March 2009

Published in Progress in Industrial Mathematics at ECMI 2004 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/3-540-28073-1_65

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(2)

• A heat kernel approach to interest rate models
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions

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