کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10427045 908633 2005 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Universal contingent claims in a general market environment and multiplicative measures: Examples and applications
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مهندسی (عمومی)
پیش نمایش صفحه اول مقاله
Universal contingent claims in a general market environment and multiplicative measures: Examples and applications
چکیده انگلیسی
We show that the value of a universal contingent claim is given by a multiplicative measure introduced by the author in 1995. Roughly speaking, a multiplicative measure is an operator-valued (in general, an abstract measure with values in a partial monoid) function on a semiring of sets which is multiplicative on the union of disjoint sets. We also show that the value of a universal contingent claim is determined by a, generally speaking, impulsive semilinear evolution equation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Nonlinear Analysis: Theory, Methods & Applications - Volume 62, Issue 8, 30 September 2005, Pages 1437-1452
نویسندگان
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