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~subject:"Contingent claim valuation"
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Contingent claim valuation
Martingale
15
Martingale measures
14
martingale measures
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Martingal
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equivalent martingale measures
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Optionspreistheorie
8
CAPM
7
Option pricing theory
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arbitrage
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Arbitrage
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Theorie
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Theory
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Volatilität
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incomplete market
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Equivalent martingale measures
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Volatility
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relative entropy
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Contingent claims
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Girsanov for G-Brownian motion
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Stochastic process
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Stochastischer Prozess
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Unvollkommener Markt
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asset pricing
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bid-ask intervals
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combinatorial optimization
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equivalent symmetric martingale measures set (EsMM set)
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finite sample space
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incomplete markets
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linear programming
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mutually singular priors
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options
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pricing
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scenario tree
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stochastic volatility
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sublinear expectation
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symmetric martingales
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Bellamy, N.
1
Christopeit, Norbert
1
Eberlein, Ernst
1
Jacod, Jean
1
Jeanblanc, M.
1
Musiela, Marek
1
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University of Bonn, Germany
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Finance and Stochastics
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Discussion Paper Serie B
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1
Incompleteness of markets driven by a mixed diffusion
Bellamy, N.
;
Jeanblanc, M.
- In:
Finance and Stochastics
4
(
2000
)
2
,
pp. 209-222
An incomplete market driven by a pair of Wiener and Poisson processes is considered. The range of European and American claim prices is determined.
Persistent link: https://www.econbiz.de/10005390732
Saved in:
2
On the range of options prices (*)
Eberlein, Ernst
;
Jacod, Jean
- In:
Finance and Stochastics
1
(
1997
)
2
,
pp. 131-140
, for "most" such models, the range of the values of the option, using all possible equivalent
martingale
measures
for the …
Persistent link: https://www.econbiz.de/10005390676
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3
On the existence and characterization of arbitrage-free measures in contingent claim valuation
Christopeit, Norbert
;
Musiela, Marek
-
University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028382
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