A new method for valueing underwriting agreements for rights issues

DOI10.1016/0167-6687(88)90074-1zbMath0667.62072OpenAlexW1993916023MaRDI QIDQ1117659

Knut Kristian Aase

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90074-1

zbMATH Keywords

Markov processesboundsnet premiumcontingent claims analysispremium computationrisk-adjusted probabilitiesunderwriting agreements

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Contingent claims valuation when the security price is a combination of an Itō process and a random point process

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading

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