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pro vyhledávání: '"Grigorian, Karen"'
Autor:
Grigorian, Karen, Jarrow, Robert
This paper studies the pricing and hedging of derivatives in frictionless and competitive, but incomplete jump-diffusion markets. A unique equivalent martingale measure (EMM) is obtained using filtration reduction to a fictitious complete market. Thi
Externí odkaz:
http://arxiv.org/abs/2304.06202
Autor:
Grigorian, Karen, Jarrow, Robert A.
In this paper we provide an exhaustive survey of the current state of the mathematics of filtration enlargement and an interpretation of the key results of the literature from the viewpoint of mathematical finance. The emphasis is on providing a well
Externí odkaz:
http://arxiv.org/abs/2303.03573
Autor:
Grigorian, Karen1 (AUTHOR) grigorian@ucsb.edu, Jarrow, Robert A.2 (AUTHOR) raj15@cornell.edu
Publikováno v:
Quarterly Journal of Finance. Aug2024, p1. 16p.
Autor:
Grigorian, Karen, Jarrow, Robert A.
Publikováno v:
Frontiers of Mathematical Finance; Mar2024, Vol. 3 Issue 1, p1-28, 28p
Autor:
Warren, John Robert, Milesi, Carolina, Grigorian, Karen, Humphries, Melissa, Muller, Chandra, Grodsky, Eric
Publikováno v:
In Annals of Epidemiology February 2017 27(2):121-127
Publikováno v:
BioNanoScience; Jun2017, Vol. 7 Issue 2, p403-407, 5p