ONE FOR ALL The Potential Approach to Pricing and Hedging

DOI10.1007/3-540-28073-1_65zbMath1308.91171OpenAlexW18176699MaRDI QIDQ3618338

L. C. G. Rogers

Publication date: 31 March 2009

Published in: Progress in Industrial Mathematics at ECMI 2004 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/3-540-28073-1_65

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A heat kernel approach to interest rate models ⋮ Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions

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