Arbitrage pricing of contingent claims
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Publication:1072906
zbMath0587.90005MaRDI QIDQ1072906
Publication date: 1985
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
option pricingarbitrage pricing of contingent claimscontinuous- time tradingcontinuous-time securities market modelself-financing portfolio strategies
Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)
Related Items (11)
Equivalent martingale measures for bridge processes ⋮ Contingent claims valuation when the security price is a combination of an Itō process and a random point process ⋮ Approximation pricing and the variance-optimal martingale measure ⋮ On complete securities markets and the martingale property of securities prices ⋮ Pathwise stochastic integration and applications to the theory of continuous trading ⋮ Reinsurance in arbitrage-free markets ⋮ Perfect option hedging and the hedge ratio ⋮ Perfect option hedging and the hedge ratio ⋮ Claim pricing and hedging under market incompleteness and ``mean-variance preferences ⋮ Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility ⋮ Optimal hedging with currency forwards, calls, and calls on forwards for the competitive exporting firm facing exchange rate uncertainty
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