On pricing of market-indexed certificates of deposit

DOI10.1016/0167-7152(89)90040-0zbMath0676.90003OpenAlexW2044422678MaRDI QIDQ1123103

Joseph C. Gardiner, Shlomo Levental

Publication date: 1989

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(89)90040-0

zbMATH Keywords

trading strategymartingalearbitrage pricingfinancial economicsstock indexcontinuous tradingcontingent claim, Itô's formulamarket methodmarket-indexed certificate of deposite

Mathematics Subject Classification ID

Cites Work

• The Pricing of Options and Corporate Liabilities
• On the use of semimartingales and stochastic integrals to model continuous trading
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• Integral representation in the theory of continuous trading