Scaling invariance in finance II: Path-dependent contingent claims

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 derivative securities, which focusses on tradable objects only, and which completely avoids the use of martingale techniqu...

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Hauptverfasser:	Hoogland, Jiri, Neumann, Dimitri
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Analysis of PDEs Physics - Disordered Systems and Neural Networks Physics - Materials Science Physics - Mesoscale and Nanoscale Physics Physics - Other Condensed Matter Physics - Quantum Gases Physics - Soft Condensed Matter Physics - Statistical Mechanics Physics - Strongly Correlated Electrons Physics - Superconductivity
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