Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009
We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...