Dynamic asset pricing theory with uncertain time-horizon

Author:

Blanchet-Scalliet Christophette,El Karoui Nicole,Martellini Lionel

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference58 articles.

1. An equilibrium model of catastrophe insurance futures and spreads;Aase;Geneva Papers on Risk and Insurance Theory,1999

2. Option pricing when jump is systematic;Ahn;Mathematical Finance,1992

3. Valuing corporate securities;Black;Journal of Finance,1976

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. Blanchet-Scalliet, C., 2001. Processus à sauts et risque de défaut. Ph.D. Thesis, unpublished manuscript, Université d’Evry Val d’Essonne.

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