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Financial Models with Defaultable Num\'eraires. (arXiv:1511.04314v3 [q-fin.PR] UPDATED)
来源于:arXiv
Financial models are studied where each asset may potentially lose value
relative to any other. Conditioning on non-devaluation, each asset can serve as
proper num\'eraire and classical valuation rules can be formulated. It is shown
when and how these local valuation rules can be aggregated to obtain global
arbitrage-free valuation formulas. 查看全文>>