A no arbitrage approach to Thiele's differential equation

DOI10.1016/S0167-6687(00)00048-2zbMath0994.91032WikidataQ115339590 ScholiaQ115339590MaRDI QIDQ5942778

Mogens Steffensen

Publication date: 9 September 2001

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

markets prices of payment processes; Martingale measure; securitization; unit-linked insurance

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

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