Contingent Claims Valued And Hedged By Pricing And Investing In A Basis
Work
Year: 1994
Type: article
Abstract: Contingent claims with payoffs depending on finitely many asset prices are modeled as elements of a separable Hilbert space. Under fairly general conditions, including market completeness, it is shown... more
Source: Mathematical Finance
Authors Dilip B. Madan, Frank Milne
Institutions University of Maryland, College Park, Queen's University
Cites: 30
Cited by: 172
Related to: 10
FWCI: 5.317
Citation percentile (by year/subfield): 97.52
Subfield: Finance
Domain: Social Sciences
Open Access status: green