The Wang transform and option pricing

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The Wang transform and option pricing.pdf (291.66 KB)

Authors

Labuschagne, Coenraad

Offwood, Theresa

Abstract

Paper presented at Strathmore International Mathematics Research Conference on July 23 - 27, 2012

Description

Paper presented at Strathmore International Math Research Conference on July 23 - 27, 2012

Keywords

Wang transform, Esscher transform, Esscher-Girsanov transform

URI

http://hdl.handle.net/11071/3575

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