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Closed-form solutions for options with random initiation under asset price monitoring

Jun, Doobae; Ku, Hyejin - In: Finance research letters 20 (2017), pp. 68-74

Persistent link: https://www.econbiz.de/10011806786

Option valuation with liquidity risk and jumps

Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387

Persistent link: https://www.econbiz.de/10011854549

Consols in the CIR model

Delbaen, Freddy - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 125-134

Persistent link: https://www.econbiz.de/10001333350

Bond pricing and the term structure of interest rates : a discrete time approximation

Heath, David C. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 4, pp. 419-440

Persistent link: https://www.econbiz.de/10001098665

Consistent pricing and hedging for a modified constant elasticity of variance model

Heath, David C.; Platen, Eckhard - 2002

Persistent link: https://www.econbiz.de/10001732832

Bond pricing and the term structure of interest rates : a new methodology for contingent claims valuation

Heath, David C. - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 1, pp. 77-105

Persistent link: https://www.econbiz.de/10001121808

Contingent claim valuation with a random evolution of interest rates

Heath, David C. - In: Review of futures markets 9 (1990) 1, pp. 54-76

Persistent link: https://www.econbiz.de/10001102029

On the law of one price

Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; … - In: Finance and Stochastics 8 (2004) 4, pp. 525-530

We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may...

Persistent link: https://www.econbiz.de/10005390695

A simple counterexample to several problems in the theory of asset pricing

Delbaen, Freddy - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10001240801

Representing Martingale measures when asset prices are continuous and bounded

Delbaen, Freddy - In: Mathematical finance : an international journal of … 2 (1992) 2, pp. 107-130

Persistent link: https://www.econbiz.de/10001184899