Pricing continuously resettled contingent claims

DOI10.1016/0165-1889(92)90049-KzbMath0760.90007OpenAlexW2132383397MaRDI QIDQ1200317

Richard Stanton, J. Darrell Duffie

Publication date: 16 January 1993

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(92)90049-k

zbMATH Keywords

continuously resettled contingent claims pricesfutures option

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Related Items (5)

Stochastic dividend yields and derivatives pricing in complete markets ⋮ A multi-factor jump-diffusion model for commodities† ⋮ On optimal portfolio choice under stochastic interest rates ⋮ Strategic commodity allocation ⋮ Optimal spreading when spreading is optimal

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
• The Consumption-Based Capital Asset Pricing Model

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