Pricing continuously resettled contingent claims
type: Item
instance of: scholarly article
title: Pricing continuously resettled contingent claims
zbMATH Open document ID: 0760.90007
DOI: 10.1016/0165-1889(92)90049-K
author: Richard Stanton
author: Darrell Duffie
publication date: 1993-01-16T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 93E03
zbMATH DE Number: 95060
zbMATH Keywords: continuously resettled contingent claims prices
zbMATH Keywords: futures option
MaRDI profile type: Publication
cites work: The pricing of options and corporate liabilities
cites work: Q3811988
cites work: The Consumption-Based Capital Asset Pricing Model
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
full work available at URL: 0165-1889(92)90049-k
OpenAlex ID: W2132383397
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 95060