An extension of the black-scholes and margrabe formulas to a multiple risk economy

HIGHLIGHTS

• who: Werner Hürlimann from the FRS Global Switzerland have published the research work: An Extension of the Black-Scholes and Margrabe Formulas to a Multiple Risk Economy, in the Journal: (JOURNAL)

SUMMARY

Valuation with State-Price Deflators Let  , F, P  be a probability space such that  is the sample space, which describes the states of the world, F is the  -field of events, and P is the probability measure assigning to any event E in F its probability P  E . Insert into using the definition of i  s, t  to obtain the . . .

 



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