Arbitrage problems with reflected geometric Brownian motion
Dean Buckner, Kevin Dowd, Hardy Hulley
| Year of publication: |
2024
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|---|---|
| Authors: | Buckner, Dean ; Dowd, Kevin ; Hulley, Hardy |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 1, p. 1-26
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| Subject: | Arbitrage | Contingent claim valuation | Local time | Reflected geometric Brownian motion | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-023-00525-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014447570