CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
Year of publication: |
1994-07
|
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Authors: | Milne, Frank ; Madan, Dilip |
Institutions: | Economics Department, Queen's University |
Subject: | Contingent claims | options | Hilbert space | Hermite | S & P 500 index |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Mathematical Finance, Vol. 4, No. 3 (July 1994), 223-245 Number 1158 23 pages |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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Price functionals with bid–ask spreads : an axiomatic approach
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Price functionals with bid–ask spreads : an axiomatic approach.
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