Title of article
Transition probability functions for martingale laws of bond prices
Author/Authors
Carrière، نويسنده , , J.F.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
7
From page
393
To page
399
Abstract
In this article, the joint transition probability density function of a finite collection of bonds is derived under a martingale valuation law. An application to European options is also given.
Keywords
European options , Itô calculus , Numéraire , Green’s function , stochastic differential equations
Journal title
Insurance Mathematics and Economics
Serial Year
2001
Journal title
Insurance Mathematics and Economics
Record number
1542397
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