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

DOI10.1023/A:1009670114285zbMATH Open1274.91404OpenAlexW3121504304MaRDI QIDQ375471FDOQ375471

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

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zbMATH Keywords

displaced diffusion modelHARA utility functionsrisk neutral valuation relationshipsthree-parameter lognormal

Mathematics Subject Classification ID

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

Cited In (6)

• On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation
• Erweiterung des Richttafelmodells RT98 zur Bewertung von Pensionsverpflichtungen nach IAS/FAS
• Two-dimensional risk-neutral valuation relationships for the pricing of options
• Pricing and hedging basket options with exact moment matching
• Esscher transforms and consumption-based models
• A finite volume approach for contingent claims valuation

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