On pricing of market-indexed certificates of deposit
type: Item
instance of: scholarly article
title: On pricing of market-indexed certificates of deposit
zbMATH Open document ID: 0676.90003
DOI: 10.1016/0167-7152(89)90040-0
author: Joseph C. Gardiner
author: Shlomo Levental
published in: Statistics \& Probability Letters
publication date: 1989-01-01T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 4108444
zbMATH Keywords: arbitrage pricing
zbMATH Keywords: contingent claim, Itô's formula
zbMATH Keywords: martingale
zbMATH Keywords: trading strategy
zbMATH Keywords: financial economics
zbMATH Keywords: market-indexed certificate of deposite
zbMATH Keywords: stock index
zbMATH Keywords: market method
zbMATH Keywords: continuous trading
MaRDI profile type: Publication
full work available at URL: 0167-7152(89)90040-0
OpenAlex ID: W2044422678
cites work: The pricing of options and corporate liabilities
cites work: On the use of semimartingales and stochastic integrals to model continuous trading
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: A stochastic calculus model of continuous trading: Complete markets
cites work: Integral representation in the theory of continuous trading
description: scientific article; zbMATH DE number 4108444