Derivative pricing methodology in continuous-time models

DOI10.1016/J.AML.2012.05.011MaRDI QIDQ714546zbMATHOpenAlexFDO

Authors Ekkehard Kopp, Marek Capiński

Publication date 11 October 2012

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2012.05.011

zbMATH Keywords

derivative pricingarbitrageextended market

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 1547390 (Why is no real title available?)
• Introduction to the mathematics of finance.
• Martingale methods in financial modelling.
• Mathematics of financial markets.

Cited in

(5)

• Pricing of derivatives on mean-reverting assets
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• Weak time-derivatives and no-arbitrage pricing
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• Pricing financial derivatives by a minimizing method

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