Showing cond-matShow all
3 papers · 1 filter
cond-mat2001
Symmetries in jump-diffusion models with applications in option pricing and credit risk
Jiri Hoogland, Dimitri Neumann, Michel Vellekoop
It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often…
cond-mat1999
Scaling invariance in finance II: Path-dependent contingent claims
Jiri Hoogland, Dimitri Neumann
This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of de…
cond-mat1999
Scale-invariance and contingent claim pricing
Jiri Hoogland, Dimitri Neumann
Prices of tradables can only be expressed relative to each other at any instant of time. This fundamental fact should therefore also hold for contigent claims, i.e. tradable instru…