Benchmarking and Fair Pricing Applied to Two Market Models
Year of publication: |
2005-03-01
|
---|---|
Authors: | Hulley, Hardy ; Miller, Shane ; Platen, Eckhard |
Institutions: | Finance Discipline Group, Business School |
Subject: | growth optimal portfolio | benchmark approach | fair pricing | Merton model | minimal market model |
-
Local Volatility Function Models under a Benchmark Approach
Heath, David, (2004)
-
A Benchmark Approach to Finance
Platen, Eckhard, (2004)
-
Understanding the Implied Volatility Surface for Options on a Diversified Index
Heath, David, (2004)
- More ...
-
Two-Factor Model for Low Interest Rate Regimes
Miller, Shane, (2004)
-
Analytic Pricing of Contingent Claims Under the Real-World Measure
Miller, Shane, (2008)
-
A Visual Criterion for Identifying Ito Diffusions as Martingalesor Strict Local Martingales
Hulley, Hardy, (2009)
- More ...