Pricing in (In)Complete Markets : Structural Analysis and Applications /
In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structu...
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2004.
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| Series: | Lecture notes in economics and mathematical systems ;
537. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- Motivation and Overview
- Pricing by Change of Measure and Numeraire
- Comparison of Discrete and Continuous Models
- Valuation of Power Options
- Modelling Feedback Effects Using Stochastic Liquidity
- Summary and Outlook
- Power Options in Stochastic Volatility Models
- References
- Abbreviations
- List of Symbols
- List of Figures
- List of Tables
- Index.