Transition probability functions for martingale laws of bond prices

Authors
Carriere, JF
Citation
Jf. Carriere, Transition probability functions for martingale laws of bond prices, INSUR MATH, 28(3), 2001, pp. 393-399
Citations number
8
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
28
Issue
3
Year of publication
2001
Pages
393 - 399
Database
ISI
SICI code
0167-6687(20010620)28:3<393:TPFFML>2.0.ZU;2-Q
Abstract
In this article, the joint transition probability density function of a fin ite collection of bonds is derived under a martingale valuation law. An app lication to European options is also given. (C) 2001 Elsevier Science B.V. All rights reserved.