Valuation And Hedging Of Contingent Claims In Complete And Incomplete Markets PDF Download
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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 | : 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 | : Noel Valliant dit Massart |
Publisher | : |
Total Pages | : |
Release | : 1995 |
Genre | : |
ISBN | : |
Download Mean-variance Hedging and Pricing of Contingent Claims in Incomplete Markets Book in PDF, ePub and Kindle
Author | : 蔡宏洲 |
Publisher | : |
Total Pages | : 166 |
Release | : 2007 |
Genre | : |
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Download Three Essays on Contingent Claim Valuation in Incomplete Markets Book in PDF, ePub and Kindle
Author | : Ioannis Karatzas |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
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Download Hedging American Contingent Claims with Constrained Portfolios Book in PDF, ePub and Kindle
The valuation theory for American Contingent Claims, due to Bensoussan (1984) and Karatzas (1988), is extended to deal with constraints on portfolio choice, including incomplete markets and borrowing/short-selling constraints, or with different interest rates for borrowing and lending. In the unconstrained case, the classical theory provides a single arbitrage-free price $u_0$; this is expressed as the supremum, over all stopping times, of the claim's expected discounted value under the equivalent martingale measure. In the presence of constraints, $ {u_0 }$ is replaced by an entire interval $[h_{ rm low}, h_{ rm up}]$ of arbitrage-free prices, with endpoints characterized as $h_{ rm low} = inf_{ nu in{ cal D}}u_ nu, h_{ rm up} = sup_{ nu in{ cal D}} u_ nu$. Here $u_ nu$ is the analogue of $u_0$, the arbitrage-free price with unconstrained portfolios, in an auxiliary market model ${ cal M}_ nu$; and the family $ {{ calM}_ nu }_{ nu in{ cal D}}$ is suitably chosen, to contain the original model and to reflect the constraints on portfolios. For several such constraints, explicit computations of the endpoints are carried out in the case of the American call-option. The analysis involves novel results in martingale theory (including simultaneous Doob Meyer decompositions), optimal stopping and stochastic control problems, stochastic games, and uses tools from convex analysis.
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 | : Emilio Barucci |
Publisher | : |
Total Pages | : 13 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Hedging European Contingent Claims in a Markovian Incomplete Market Book in PDF, ePub and Kindle
Author | : Zhenke Guan |
Publisher | : |
Total Pages | : 83 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Hedging of Contingent Claims in Financial Markets Book in PDF, ePub and Kindle
Author | : Frederic Abergel |
Publisher | : |
Total Pages | : 13 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact Book in PDF, ePub and Kindle
We study the influence of taking liquidity costs and market impact into account when hedging a contingent claim, first in the discrete time setting, then in continuous time. In the latter case and in a complete market, we derive a fully non-linear pricing partial differential equation, and characterizes its parabolic nature according to the value of a numerical parameter naturally interpreted as a relaxation coefficient for market impact. We then investigate the more challenging case of stochastic volatility models, and prove the parabolicity of the pricing equation in a particular case.
Author | : Hendrik Sumpf |
Publisher | : |
Total Pages | : 124 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Static Mean-variance Hedging of Path-dependent European Contingent Claims in Incomplete Markets of Vanilla European Contingent Claims Book in PDF, ePub and Kindle