✦ LIBER ✦

The valuation of multivariate contingent claims under transformed trinomial approaches

✍ Scribed by Chuang-Chang Chang; Jun-Biao Lin

Publisher: Springer US
Year: 2009
Tongue: English
Weight: 321 KB
Volume: 34
Category: Article
ISSN: 0924-865X
DOI: 10.1007/s11156-009-0121-3

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

On the relationship of the dynamic progr

On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation

✍ Thomas S. Knudsen; Bernhard Meister; Mihail Zervos 📂 Article 📅 1999 🏛 Springer-Verlag 🌐 English ⚖ 104 KB

The non-Markovian approach to the valuat

The non-Markovian approach to the valuation and hedging of European contingent claims on power with scaling spikes

✍ Valery A. Kholodnyi 📂 Article 📅 2008 🏛 Elsevier 🌐 English ⚖ 490 KB

084041 (E51,E10) The term structure of i

084041 (E51,E10) The term structure of interest rates: Alternative approaches and their implications for the valuation of contingent claims : Subrahmanyam M.G., The Geneva papers on risk and insurance theory 21 7–28 (1996)

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 176 KB

4 bstracts and Reviews 267 concept of linear stochastic dominance is sufficient to generate the desired result. These results are linked to existing sufficient conditions in the one safe-one risky asset model, as the condition of strong increase in risk or the monotone likelihood ratio order. They a