Option pricing theory and its applications
作者： John C. Cox , Chi-fu. Huang
DOI:
关键词:
摘要:
参考文章(19)
A. N Shiryayev, R. S Liptser, Statistics of Random Processes I: General Theory ,(1984)
Robert C. Merton, Theory of rational option pricing ,(2011)
David M. Kreps, Three essays on capital markets Institute for Mathematical Studies in the Social Sciences, Stanford Univ.. ,(1978)
Raymond W. Rishel, Wendell Helms Fleming, Deterministic and Stochastic Optimal Control ,(1975)
Hiroshi Kunita, Shinzo Watanabe, On Square Integrable Martingales Nagoya Mathematical Journal. ,vol. 30, pp. 209- 245 ,(1967) , 10.1017/S0027763000012484
John C Cox, Chi-fu Huang, Optimal consumption and portfolio policies when asset prices follow a diffusion process Journal of Economic Theory. ,vol. 49, pp. 33- 83 ,(1989) , 10.1016/0022-0531(89)90067-7
John C. Cox, Stephen A. Ross, The valuation of options for alternative stochastic processes Journal of Financial Economics. ,vol. 3, pp. 145- 166 ,(1976) , 10.1016/0304-405X(76)90023-4
David C. Emanuel, Warrant valuation and exercise strategy Journal of Financial Economics. ,vol. 12, pp. 211- 235 ,(1983) , 10.1016/0304-405X(83)90036-3
Darrell. Duffie, Chi-fu Huang, Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities ,(2011)
Robert C Merton, Optimum consumption and portfolio rules in a continuous-time model☆ Journal of Economic Theory. ,vol. 3, pp. 373- 413 ,(1971) , 10.1016/0022-0531(71)90038-X