FINITE-DIFFERENCE METHODS AND JUMP PROCESSES ARISING IN PRICING OF CONTINGENT CLAIMS - SYNTHESIS

被引：191

作者：

BRENNAN, MJ

SCHWARTZ, ES

机构：

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1978年 / 13卷 / 03期

关键词：

D O I：

10.2307/2330152

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：461 / 474

页数：14

共 12 条

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[7]

INGERSOLL J, UNPUBLISHED

[8] THEORETICAL AND EMPIRICAL-INVESTIGATION OF DUAL PURPOSE FUNDS - APPLICATION OF CONTINGENT-CLAIMS ANALYSIS [J].

INGERSOLL, JE .

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MCCRACKEN D, 1969, NUMERICAL METHODS FO

[10] THEORY OF RATIONAL OPTION PRICING [J].

MERTON, RC .

BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183

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