Produkt
KlappentextIn 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 structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor.
Details
Weitere ISBN/GTIN9783642170652
ProduktartE-Book
EinbandartE-Book
FormatPDF
Format Hinweis1 - PDF Watermark
FormatE107
Erscheinungsjahr2012
Erscheinungsdatum27.08.2012
Auflage2004
Reihen-Nr.537
Seiten122 Seiten
SpracheEnglisch
IllustrationenXI, 122 p. 2 illus.
Artikel-Nr.7449172
Rubriken
Genre9200