Gaussian moving averages, semimartingales and option pricing

Stochastic Processes and their Applications

Volumn 109, Issue 1, 2004, Pages 47-68

  Cheridito, Patrick ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Equivalent martingale measures; Gaussian processes; Moving average representation; Option pricing; Semimartingales

Indexed keywords

EID: 0242467551     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2003.08.002     Document Type: Article

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