Transition probability functions for martingale laws of bond prices.

DOI10.1016/S0167-6687(01)00064-6zbMath1055.91020WikidataQ127719723 ScholiaQ127719723MaRDI QIDQ1413276

Jacques F. Carriere

Publication date: 16 November 2003

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

zbMATH Keywords

Green's functionEuropean optionsStochastic differential equationsIt\(\hat o\) calculusNuméraire

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

Related Items (1)

Martingale Valuation of Cash Flows for Insurance and Interest Models

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Stochastic differential equations. An introduction with applications.
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