ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE

DOI10.1142/S0219024908005056zbMath1175.91184OpenAlexW2058938601MaRDI QIDQ3621563

Shane Miller, Eckhard Platen

Publication date: 21 April 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908005056

zbMATH Keywords

zero-coupon bondsgrowth optimal portfoliobenchmark approachreal-world pricingminimal market modelexchange pricesinterest rate caps and floors

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Hedging for the long run

Uses Software

• Mathematica

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Interest rate models -- theory and practice. With smile, inflation and credit
• Martingales and arbitrage in multiperiod securities markets
• A general version of the fundamental theorem of asset pricing
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• A two-factor model for low interest rate regimes
• Diversified portfolios with jumps in a benchmark framework
• The Economic Plausibility of Strict Local Martingales in Financial Modelling
• PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• On some exponential functionals of Brownian motion
• The noncentral chi-squared distribution with zero degrees of freedom and testing for uniformity
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING
• AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL

This page was built for publication: ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE