An extended set of risk neutral valuation relationships for the pricing of contingent claims
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Publication:375471
DOI10.1023/A:1009670114285zbMath1274.91404OpenAlexW3121504304MaRDI QIDQ375471
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
displaced diffusion modelHARA utility functionsrisk neutral valuation relationshipsthree-parameter lognormal
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