Bajeux-Besnainou, Isabelle; Portait, Roland - In: Applied Mathematical Finance 5 (1998) 3-4, pp. 207-225
The martingale approach to pricing contingent claims can be applied in a multiple state variable model. The idea is used to derive the prices of derivative securities (futures on stock and bond futures, options on stocks, bonds and futures) given a continuous time Gaussian multi-factor model of...