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Option Pricing by Esscher Transforms
Computation 32 (1978): 277-79. 32. DUFFLE, D. Dynamic Asset Pricing Theory. Princeton: Princeton University ... LusKir~, D.L. ED. Por(folio Insurance: A Guide to Dynamic Hedging. New York: Wiley, 1988. 56. MADAN, D ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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Nonparallel Yield Curve Shifts and Convexity
price to A(0)? (4) All arguments ignore the time dynamic: What is the relationship be- tween Ai and At ... classical models, "[a]ll arguments ignore the time dynamic." This is one of his reasons for introducing a ...- Authors: Robert Reitano
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments