Bayes prediction based on point processe
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Article
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1996
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Elsevier Science
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English
⚖ 118 KB
Reviews 2.51 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 dea