Contingent claims on assets with conversion costs.
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Publication:1873082
DOI10.1016/S0378-3758(01)00317-2zbMath1071.91023MaRDI QIDQ1873082
Enrique A. Thomann, Edward C. Waymire
Publication date: 19 May 2003
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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Cites Work
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- Martingales and stochastic integrals in the theory of continuous trading
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- On some exponential functionals of Brownian motion
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- The value of an Asian option
- Option pricing: A simplified approach
- A note on the distribution of integrals of geometric Brownian motion
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