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The martingale approach for credit-risky exchange option pricing
Exchange option Girsanov’s theorem
2010/9/10
An exchange option allows its holder to exchange one asset for another at maturity. In this short paper, the martingale approach, which is based on Continuous martingale representation theorem and Gir...
A martingale approach to continuous time marginal structural models
martingale approach continuous time marginal structural models
2010/3/17
Marginal structural models were introduced in order to provide
estimates of causal effects from interventions based on observational studies
in epidemiological research. We present a variant of the ...