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Stochastic processes in insurance and finance · Study

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ChapterStochastic processes in insurance and finance

Paul Embrechts A2001

Chapter2001

Stochastic processes in insurance and finance

Paul Embrechts A · Rüdiger Frey · Hansjörg Furrer

21 citations·0/0 files stored·Handbook of statistics

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Stochastic processes and financial applications Insurance and Financial Risk Management Probability and Risk Models

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1999Continuous Martingales and Brownian Motion 1979Option pricing: A simplified approach 1976Option pricing when underlying stock returns are discontinuous

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Year2001

Typechapter

Published2001-01-01

VenueHandbook of statistics

ISSN-L0169-7161

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0169-7161(01)19014-0

openalex_workW1563764708

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