Pricing dynamic binary variables and their derivatives

DOI10.1080/14697688.2011.584893zbMath1278.91066OpenAlexW2015486360MaRDI QIDQ2873018

David G. Luenberger

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.584893

zbMATH Keywords

asset pricingreal optionsderivatives hedgingderivative pricing models

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing a nontradeable asset and its derivatives.
• Products of trees for investment analysis
• Arbitrage and universal pricing.
• A correlation pricing formula.
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
• Option pricing: A simplified approach
• Projection pricing

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