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Dynamic Spanning of Contingent Claims
arbitrage-free pricing of contingent claims places its primary emphasis on methods of computing the prices of ... state space, the Poisson model admits a more direct analysis than is possible for the Wiener process ...- Authors: Hal Warren Pedersen
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments