Approximating payoffs and pricing formulas

DOI10.1016/S0165-1889(99)00092-5zbMath1032.91051MaRDI QIDQ1583152

R. Smith

Publication date: 26 October 2000

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

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

Kernel-based nonlinear canonical analysis and time reversibility

Cites Work

• Spectral methods for identifying scalar diffusions
• WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• An equilibrium characterization of the term structure
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