Approximating payoffs and pricing formulas

DOI10.1016/S0165-1889(99)00092-5zbMATH Open1032.91051MaRDI QIDQ1583152FDOQ1583152

Authors: R. Smith 

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

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Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• An equilibrium characterization of the term structure
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
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• Spectral methods for identifying scalar diffusions
• Title not available (Why is that?)
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Title not available (Why is that?)
• WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING

Cited In (2)

• Kernel-based nonlinear canonical analysis and time reversibility
• Polynomial approximation of discounted moments

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