Total risk aversion and the pricing of options
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Publication:811316
DOI10.1007/BF01442392zbMath0734.90014MaRDI QIDQ811316
R. Jensen, Emmanuel Nicholas Barron
Publication date: 1991
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- Viscosity solutions of Isaacs' equations and differential games with Lipschitz controls
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- Semicontinuous Viscosity Solutions For Hamilton–Jacobi Equations With Convex Hamiltonians
- Optimization Problems in the Theory of Continuous Trading
- A Stochastic Control Approach to the Pricing of Options
- Discontinuous solutions of deterministic optimal stopping time problems
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