SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK
نویسندگان
چکیده
منابع مشابه
Symmetries in jump-diffusion models with applications in option pricing and credit risk
It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often under the name of ‘change of numeraire’, but in recent work it was shown that when invoked as a fundamental first principle, it provides a powerful alternative method for the derivation of prices and hedges of deriva...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2003
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024903001803