Sensitivity analysis of long-term cash flows
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Publication:1788822
DOI10.1007/s00780-018-0370-xzbMath1416.91382arXiv1511.03744OpenAlexW2963069722MaRDI QIDQ1788822
Publication date: 8 October 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.03744
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (3)
Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition ⋮ Influence of risk tolerance on long-term investments: a Malliavin calculus approach ⋮ LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
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