6533b7d7fe1ef96bd1268cef
RESEARCH PRODUCT
Contingent claim valuation in a market with different interest rates
Ralf Kornsubject
Actuarial scienceFinancial economicsGeneral Mathematicsmedia_common.quotation_subjectBlack–Scholes modelManagement Science and Operations ResearchInterest rateValuation of optionsEconomicsPortfolioProject portfolio managementSoftwaremedia_commonValuation (finance)description
The problem of contingent claim valuation in a market with a higher interest rate for borrowing than for lending is discussed. We give results which cover especially the European call and put options. The method used is based on transforming the problem to suitable auxiliary markets with only one interest rate for borrowing and lending and is adapted from a paper of Cvitanic and Karatzas (1992) where the authors study constrained portfolio problems.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1995-10-01 | ZOR Zeitschrift f�r Operations Research Mathematical Methods of Operations Research |