Growth optimal investment and pricing of derivatives-Reference-Cited by-同舟云学术

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Growth optimal investment and pricing of derivatives

Published:2000-06 Issue:3-4 Volume:280 Page:505-521
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Aurell Erik,Baviera Roberto,Hammarlid Ola,Serva Maurizio,Vulpiani Angelo

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference46 articles.

1. The pricing of options and corporate liabilities;Black;J. Political Econ.,1973

2. Option pricing: a simplified approach;Cox;J. Finance Econ.,1979

3. Martingales and multiperiod securities markets;Harrison;J. Econ. Theory,1979

4. Options Markets;Cox,1985

5. Theory of Financial Decision Making;Ingersoll,1987

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