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
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
Journal title :
Insurance Mathematics and Economics
