Financial jeopardy

DOI10.1080/1350486X.2017.1353917zbMath1398.91609OpenAlexW4237030498MaRDI QIDQ4610211

Dilip B. Madan

Publication date: 6 April 2018

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

Full work available at URL: https://doi.org/10.1080/1350486x.2017.1353917

zbMATH Keywords

variance gammauniformly integrable martingalestochastic perpetuity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Present value distributions with applications to ruin theory and stochastic equations
• ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS
• On Tails of Perpetuities
• On exact sampling of stochastic perpetuities
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Stochastic Discounting, Aggregate Claims, and the Bootstrap
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous

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