LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING

DOI10.1142/S0219024901000857zbMath1153.91509arXivcond-mat/9906048OpenAlexW1966232788MaRDI QIDQ3523559

C. D. D. Neumann, Jiri K. Hoogland

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9906048

zbMATH Keywords

homogeneitypartial differential equationscale invariancecontingent claim pricing

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (6)

Pricing Asian options in a semimartingale model ⋮ Prices and sensitivities of Asian options: A survey ⋮ Pricing Asian options with stochastic volatility ⋮ From structural assumptions to a link between assets and interest rates ⋮ Model-free price hedge ratios for homogeneous claims on tradable assets ⋮ Pricing and hedging guaranteed returns on mix funds

Cites Work

• The Pricing of Options and Corporate Liabilities
• LIBOR and swap market models and measures
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing

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