An extended set of risk neutral valuation relationships for the pricing of contingent claims

DOI10.1023/A:1009670114285MaRDI QIDQ375471zbMATHOpenAlexFDO

Authors Antonio Camara

Publication date 30 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009670114285

zbMATH Keywords

displaced diffusion modelHARA utility functionsrisk neutral valuation relationshipsthree-parameter lognormal

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(8)

• On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation
• Pricing and hedging basket options with exact moment matching
• Equilibrium preference free pricing of derivatives under the generalized beta distributions
• Two-dimensional risk-neutral valuation relationships for the pricing of options
• Esscher transforms and consumption-based models
• Forward-neutral valuation relationships for options on zero coupon bonds
• A finite volume approach for contingent claims valuation
• Erweiterung des Richttafelmodells RT98 zur Bewertung von Pensionsverpflichtungen nach IAS/FAS

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