An extended set of risk neutral valuation relationships for the pricing of contingent claims

Review of Derivatives Research

Volumn 3, Issue 1, 1999, Pages 67-83

  Câmara, António ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

Displaced diffusion model; Hara utility functions; RNVR; Three parameter lognormal

Indexed keywords

EID: 4243700409     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1009670114285     Document Type: Article

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