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Baseline Risk and Preference for Reductions in Risk-to-Life

โœ Scribed by John K. Horowitz; Richard T. Carson

Book ID
109156869
Publisher
Springer
Year
1993
Tongue
English
Weight
479 KB
Volume
13
Category
Article
ISSN
1573-9147

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๐Ÿ“œ SIMILAR VOLUMES

Beseline risk and preference for reducti
Beseline risk and preference for reductions in risk-to-life : 074098 (E60, B10) Horowitz J.K., Carson R.T. (โˆ—), University of Maryland, Maryland, University of California, California (โˆ—), Risk Analysis, Vol. 13, nr. 4, 1993, pp. 457โ€“462
๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 113 KB

how certain American type options on two stocks (for example, the perpetual Margrabe option) can be priced. Applying the optional sampling theorem to certain martingales (which resemble the exponential martingale in ruin theory), we obtain several explicit results without having to deal with differe