Approximating payoffs and pricing formulas

DOI10.1016/S0165-1889(99)00092-5MaRDI QIDQ1583152zbMATH OpenFDO

Authors R. Smith

Publication date 26 October 2000

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

Mathematics Subject Classification ID

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

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• An equilibrium characterization of the term structure
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Spectral methods for identifying scalar diffusions
• WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING

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(2)

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

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