http://hdl.handle.net/2330/836 Search the Channel search http://bora.nhh.no:8080/simple-search http://hdl.handle.net/2330/843 Title: Contingent claims evaluation when the convenience yield is stochastic : analytical results <br/> <br/>Authors: Bjerksund, Petter <br/> <br/>Abstract: This paper considers contingent claims on a commodity when both the spot price and the convenience yield are generated by diffusion processes. By adopting the Gibson and Schwartz (1990) assumptions on the economy, we derive analytical solutions to both the futures price and the European call option. Tue, 29 Jan 1991 22:58:59 GMT http://hdl.handle.net/2330/841 Title: An introduction to Malliavin calculus with applications to economics <br/> <br/>Authors: Øksendal, Bernt Mon, 28 Apr 1997 22:58:59 GMT http://hdl.handle.net/2330/840 Title: Equilibrium pricing in the presence of cumulative dividends following a diffusion <br/> <br/>Authors: Aase, Knut K. <br/> <br/>Abstract: The paper presents some security market pricing results in the setting of a security market equilibrium in continuous-time. In particular, we show how the Black and Scholes formula results within this framework. First and foremost this demonstration may be of expository value, since it is simple, direct and consistent with economic equilibrium theory. <br/> <br/>Description: Original title: An equilibrium approach to the pricing of derivative securities - updated 13.05.03) PUBLISHED: Mathematical Finance, Vol. 12, No.3, pp.173-198, 2002 Thu, 28 Jun 2001 22:58:59 GMT