par Abikhalil, Fadi 
;Dupont, Pierre ;Janssen, Jacques ;van Ossel, P.
Référence Applied stochastic models and data analysis, 1, 1, page (55-64)
Publication Publié, 1985
;Dupont, Pierre ;Janssen, Jacques ;van Ossel, P.Référence Applied stochastic models and data analysis, 1, 1, page (55-64)
Publication Publié, 1985
Article révisé par les pairs
| Résumé : | The purpose of this paper is to give a mathematical model to generalize the classical approach of compound interest and to overcome the time structure problem of the interest rates. We introduce a suitable stochastic process called the ‘gauge’ process such that its product with the value of any security is assumed to be a martingale in an appropriate probability space. The framework of this model gives a stochastic actualization formula for the pricing of general securities with options and includes Black and Schole's formula without using arbitrage arguments. Emphasis has been placed on numerical calculation. Copyright © 1985 John Wiley & Sons, Ltd |
