A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS

DOI10.1142/S0219024913500489zbMath1290.91164arXiv1301.4869MaRDI QIDQ5411745

Johan Nykvist, Filip Lindskog, Henrik Hult

Publication date: 25 April 2014

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

Full work available at URL: https://arxiv.org/abs/1301.4869

zbMATH Keywords

option pricingmixture models

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Expensive martingales