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Contingent Claims and Market Completeness in a Stochastic Volatility Model

✍ Scribed by Marc Romano; Nizar Touzi


Book ID
108550415
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
151 KB
Volume
7
Category
Article
ISSN
0960-1627

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We present and further develop the concept of a universal contingent claim introduced by the author in 1995. This concept provides a unified framework for the analysis of a wide class of financial derivatives. A universal contingent claim describes the time evolution of a contingent payoff. In the