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Pricing contingent claims in incomplete markets using the numeraire portfolio

By Roland Portait, Isabelle Bajeux-Besnainou and 95 - Cergy-Pontoise (France). Centre de Recherche Ecole Superieure des Sciences Economiques et Commerciales (ESSEC)

Abstract

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : DO 6669 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc

Topics: 05Z - Banking, finance, taxation, MARTINGALE PRICE, MINIMAX LOCAL MARTINGALE, ARBITRAGE FREE PRICE
Year: 1998
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