Compound options with time-dependent parameters

MaRDI QIDQ5490684zbMATH OpenFDO

Authors Ronghua Li, Yonghong Dai, Qin Chang

Publication date 4 October 2006

zbMATH Keywords

stochastic differential equationGirsanov theoremmartingale method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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