On Esscher Transforms in Discrete Finance Models
نویسندگان
چکیده
منابع مشابه
On Esscher Transforms in Discrete Finance Models
1. GENERAL TECHNIQUE The object of our study is s = (So, Sl , ..., SN) = (S,,)O<,,<N (1) where each Sn is a m-dimensional stochastic (real valued) vector, i.e. Sn = (sn(l), s~, 2), ..., S~ '')) (2) defined on a probabili ty space (f~, .~', P) and adapted to a filtration (.~'n)O<n<N with .~'0 being the o-algebra consisting of all null sets and their compl-efflents. In this paper we interpret S!/...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1998
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.28.2.519064