Showing 1 - 10 of 314
The replication of any European contingent claim by a static portfolio of calls and puts with strikes forming a continuum, formally proven by Carr and Madan (1998), is part of the more general theory of integral equations. We apply spectral decomposition techniques to show that replication may...
Persistent link: https://www.econbiz.de/10012867519
Persistent link: https://www.econbiz.de/10012483843
Persistent link: https://www.econbiz.de/10013367861
Persistent link: https://www.econbiz.de/10001249758
Persistent link: https://www.econbiz.de/10001073000
Persistent link: https://www.econbiz.de/10001553928
Persistent link: https://www.econbiz.de/10001055592
Persistent link: https://www.econbiz.de/10009407668
Persistent link: https://www.econbiz.de/10010508100
Persistent link: https://www.econbiz.de/10011743831