Risk‐neutral pricing techniques and examples

DOI10.1111/mafi.12307zbMath1521.91360OpenAlexW3158310091MaRDI QIDQ6054366

Anna Srapionyan, Yixuan Zhao, Robert A. Jarrow, Pierre Patie

Publication date: 28 September 2023

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

Full work available at URL: https://doi.org/10.1111/mafi.12307

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Jacobi Processes with Jumps as Neuronal Models: A First Passage Time Analysis

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