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Computational Aspects of Complex Securities

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  • Selby, Michael J. P.

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  • Selby, Michael J. P., 2000. "Computational Aspects of Complex Securities," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1491-1497, October.
  • Handle: RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1491-1497
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    References listed on IDEAS

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    1. Lucien Foldes, 1978. "Optimal Saving and Risk in Continuous Time," Review of Economic Studies, Oxford University Press, vol. 45(1), pages 39-65.
    2. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    3. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    4. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    5. Garman, Mark B., 1976. "An algebra for evaluating hedge portfolios," Journal of Financial Economics, Elsevier, vol. 3(4), pages 403-427, October.
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