Contingent claims valuation when the security price is a combination of an Itō process and a random point process

DOI10.1016/0304-4149(88)90096-8zbMath0645.90009MaRDI QIDQ1103505

Knut Kristian Aase

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90096-8

zbMATH Keywords

tree; sensitivity analysis; semi-martingale; financial economics; priority classes; cyclic networks; contingent claims valuation; continuous trading; frictionless security market; queueing-location model

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

91B62: Economic growth models

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