Arbitrage-free pricing of derivatives in nonlinear market models
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Publication:2296111
DOI10.1186/s41546-018-0027-xzbMath1432.91119arXiv1701.08399OpenAlexW2584760475WikidataQ129911105 ScholiaQ129911105MaRDI QIDQ2296111
Igor Cialenco, Marek Rutkowski, Tomasz R. Bielecki
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.08399
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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