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References listed on IDEAS
- 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..
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KeywordsHedging; self-financing trading strategy; numeraire invariance; predictable representation; unique pricing; arbitrage-free; martingale; homogeneous payoff; Markovian; It^o's formula; SDE; PDE; geometric Brownian motion; exponential Poisson process;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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