Auxiliary Considerations

Mario V. Wüthrich and Michael Merz
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Mario V. Wüthrich: ETH Zurich
Michael Merz: University of Hamburg

Chapter Chapter 11 in Financial Modeling, Actuarial Valuation and Solvency in Insurance, 2013, pp 407-418 from Springer

Abstract: Abstract This chapter can be viewed as appendix. We give results and proofs that are of broader interest. These include useful results for Gaussian distributions, change of numeraire technique, and pricing of European style options.

Keywords: Cash Flow; Price Process; Strike Price; European Option; European Call Option (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-31392-9_11

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DOI: 10.1007/978-3-642-31392-9_11

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