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~institution:"Economics Institute for Research (SIR), Handelshögskolan i Stockholm"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~person:"Jamshidian, Farshid"
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It\^o's formula
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PDE
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arbitrage-free
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exponential Poisson process
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geometric Brownian motion
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homogeneous payoff
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martingale
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Jamshidian, Farshid
Magni, Carlo Alberto
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Björk, Tomas
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Numeraire Invariance and application to Option Pricing and Hedging
Jamshidian, Farshid
-
Volkswirtschaftliche Fakultät, …
-
2008
. It emphasizes application to unique pricing in
arbitrage
-free model, the derivation of hedge ratios and the PDE when …
Persistent link: https://www.econbiz.de/10005787005
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2
Exchange Options
Jamshidian, Farshid
-
Volkswirtschaftliche Fakultät, …
-
2007
sketched in an
arbitrage
-free semimartingale setting. Focus is maintained on construction of a hedge using Ito's formula and on …
Persistent link: https://www.econbiz.de/10005619898
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