OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS

DOI10.1111/j.1467-9965.1995.tb00070.xzbMath0866.90018OpenAlexW2161906325MaRDI QIDQ3126239

Dilip B. Madan, Robert A. Jarrow

Publication date: 23 March 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00070.x

zbMATH Keywords

option pricingarbitrage pricingmarket completenessBrownian motionsdesign of dynamic portfolio management strategiesterm-structure-related securitiesunique martingale measures

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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