A model of financial market with several interacting assets. Complete market case
Year of publication: |
2002-05-17
|
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Authors: | Steblovskaya, Victoria ; Albeverio, Sergio |
Published in: |
Finance and Stochastics. - Springer. - Vol. 6.2002, 3, p. 383-396
|
Publisher: |
Springer |
Subject: | Multidimensional Black-Scholes model | linear stochastic differential equations with multiplicative noise | complete market | pricing of contingent claims |
Extent: | application/pdf |
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Type of publication: | Article |
Notes: | received: July 2000; final version received: October 2001 |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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