Pricing of European options when the underlying stock price follows a linear birth-death process

Communications in Statistics. Part C: Stochastic Models

Volumn 14, Issue 3, 1998, Pages 647-662

  Korn, Ralf ^a   Kreer, Markus ^b   Lenssen, Mark ^c  

^a JOHANNES GUTENBERG UNIVERSITY   (Germany)

^b Union Bank of Switzerland   (Switzerland)

^c Department of Financial Markets   (United Kingdom)

Author keywords

Birth death processes; Equivalent martingale measures; Martingale representation for point processes; Valuation by arbitrage

Indexed keywords

EID: 33749565222     PISSN: 08820287     EISSN: None     Source Type: Journal    
DOI: 10.1080/15326349808807493     Document Type: Article

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