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References listed on IDEAS
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More about this item
Keywords
Hedging; self-financing trading strategy; numeraire invariance; predictable representation; unique pricing; arbitrage-free; martingale; homogeneous payoff; Markovian; It^o's formula; SDE; PDE; geometric Brownian motion; exponential Poisson process;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IFN-2007-08-18 (International Finance)
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