The Pricing of Contingent Claims in Discrete Time Models
作者： M. J. BRENNAN
DOI: 10.1111/J.1540-6261.1979.TB02070.X
关键词: Arbitrage 、 Economics 、 Risk-neutral measure 、 General equilibrium theory 、 Asset (economics) 、 Financial economics 、 First class 、 Class (set theory) 、 Econometrics 、 Discrete time and continuous time 、 Observable
摘要: … , or its derivatives, to the value of the underlying asset and … on the terminal price of the underlying asset including put options, … w1, and p is the correlation between wi and pi. If z (pi) is to …
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