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092047 (E10) Pricing contingent claims under constraints : Karatzas I., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 87 KB
Volume: 20
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(97)80670-1

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By taking the relevant expectations, the model yields a complete initial term structure for the continuum of maturities, endogenously interpolating between the observed data. Thus it is more parsimonious in its assumptions in the sense that there is no need for an exogenous interpolation rule and th