An extended set of risk neutral valuation relationships for the pricing of contingent claims

DOI10.1023/A:1009670114285zbMath1274.91404OpenAlexW3121504304MaRDI QIDQ375471

Antonio Camara

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009670114285

zbMATH Keywords

displaced diffusion modelHARA utility functionsrisk neutral valuation relationshipsthree-parameter lognormal

Mathematics Subject Classification ID

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

Related Items (3)

Pricing and hedging basket options with exact moment matching ⋮ Esscher transforms and consumption-based models ⋮ Two-dimensional risk-neutral valuation relationships for the pricing of options

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