✦ LIBER ✦
Perceptions of nuclear and other risks in Japan and the United States : 074099 (E60,M54) Hinman G.W., Rosa E.A., Kleinhesselink R.R., Lowinger T.C., Washington State University, Washington, Risk Analysis, Vol. 13, nr. 4, 1993, pp. 449–454
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 113 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
✦ Synopsis
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 differential equations.