Pricing stock and bond derivatives with a multi-factor Gaussian model

DOI10.1080/135048698334646zbMath1011.91040OpenAlexW2052303445MaRDI QIDQ4541564

Isabelle Bajeux-Besnainou, R. Portait

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048698334646

zbMATH Keywords

pricescontingent claimsderivative securities

Mathematics Subject Classification ID

Related Items (12)

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Cites Work

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• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Option and Futures Evaluation With Deterministic Volatilities¹
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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