Scale invariance and contingent claim pricing
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References listed on IDEAS
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- Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, Reading University, revised Nov 2005.
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More about this item
Keywordscontingent claim pricing; scale-invariance; homogeneity; partial differential equation;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-02-14 (All new papers)
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