Work

Change of numéraire for affine arbitrage pricing models driven by multifactor marked point processes

Year: 2001

Type: preprint

Source: RePEc: Research Papers in Economics

Author: Andréa Roncoroni

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1489905560

Cites: 17

Cited by: 25

Related to: 10