Optimal Pricing Of Contingent Claims In Incomplete Markets PDF Download
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Author | : Constantinos Alexandropoulos |
Publisher | : |
Total Pages | : |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Optimal Pricing of Contingent Claims in Incomplete Markets Book in PDF, ePub and Kindle
Author | : Teemu Pennanen |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Arbitrage Pricing of American Contingent Claims in Incomplete Markets - a Convex Optimization Approach Book in PDF, ePub and Kindle
Author | : Yaacov Zvi Bergman |
Publisher | : |
Total Pages | : 102 |
Release | : 1982 |
Genre | : Options (Finance) |
ISBN | : |
Download Pricing of Contingent Claims in Perfect and in Imperfect Markets Book in PDF, ePub and Kindle
Author | : Noel Valliant dit Massart |
Publisher | : |
Total Pages | : |
Release | : 1995 |
Genre | : |
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Download Mean-variance Hedging and Pricing of Contingent Claims in Incomplete Markets Book in PDF, ePub and Kindle
Author | : Yaacov Z. Bergman |
Publisher | : |
Total Pages | : 0 |
Release | : 1982 |
Genre | : |
ISBN | : |
Download Pricing of Contingent Claims in Perfect and in Imperfect Markets Book in PDF, ePub and Kindle
Author | : Peter og Klaus N.D. Møller og Krarup-Christensen |
Publisher | : |
Total Pages | : 155 |
Release | : 1993 |
Genre | : |
ISBN | : |
Download Valuation and Hedging of Contingent Claims in Complete and Incomplete Markets Book in PDF, ePub and Kindle
Author | : Yaacov Bergman |
Publisher | : |
Total Pages | : 0 |
Release | : 1984 |
Genre | : Restricted stock options |
ISBN | : |
Download Pricing of Contingent Claims in Perfect and in Imperfect Markets Book in PDF, ePub and Kindle
Author | : Christopher William Potter |
Publisher | : |
Total Pages | : 390 |
Release | : 2005 |
Genre | : Hedging (Finance) |
ISBN | : |
Download Hedging Contingent Claims in Complete and Incomplete Markets Book in PDF, ePub and Kindle
Author | : Stephen E. Satchell |
Publisher | : |
Total Pages | : 29 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download The Pricing of Market-to-Market Contingent Claims in a No-Arbitrage Economy Book in PDF, ePub and Kindle
This paper assumes that the underlying asset prices are lognormally distributed and drives necessary and sufficient conditions for the valuation of options using a Black-Scholes type methodology. It is shown that the price of a futures-style, market-to-market option is given by Black s formula if the pricing kernel is lognormally distributed. Assuming that this condition is fulfilled, it is then shown that the Black-Scholes formula prices a spot-settled contingent claim, if the interest-rate accumulation factor is lognormally distributed. Otherwise, the Black-Scholes formula holds if the product of the pricing kernel and the interest-rate accumulation factor is lognormally distributed.
Author | : Claus Munk |
Publisher | : |
Total Pages | : 270 |
Release | : 1997 |
Genre | : |
ISBN | : 9788789375540 |
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