In this work we consider a Wiener-Poisson model of two-country-economy in order to get some relevant financial relations to martingale properties, the change of the numéraire technique and the risk neutral valuation
RISK NEUTRAL VALUATION AND UNCOVERED INTEREST RATE PARITY IN A WIENER-POISSON FRAMEWORK
COSTA, Vincenzo
2006-01-01
Abstract
In this work we consider a Wiener-Poisson model of two-country-economy in order to get some relevant financial relations to martingale properties, the change of the numéraire technique and the risk neutral valuationFile in questo prodotto:
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