Author: Sigrid MullerPublisher:
ISBN: 9783642465611
Category :
Languages : en
Pages : 168
Book Description
Arbitrage Pricing of Contingent Claims
Author: Sigrid MullerPublisher:
ISBN: 9783642465611
Category :
Languages : en
Pages : 168
Book Description
Arbitrage pricing of contingent claims
Author: Arbitrage Pricing of Contingent Claims
Author: Sigrid MüllerPublisher: Springer Science & Business Media
ISBN: 3642465609
Category : Law
Languages : en
Pages : 160
Book Description
Arbitrage Pricing of American Contingent Claims in Incomplete Markets - a Convex Optimization Approach
Author: Teemu PennanenArbitrage Free Pricing of Interest Rate Contingent Claims
Author: Bjorn FlesakerThe Pricing of Market-to-Market Contingent Claims in a No-Arbitrage Economy
Author: Stephen E. SatchellPublisher:
ISBN:
Category :
Languages : en
Pages : 29
Book Description
This paper assumes that the underlying asset prices are lognormally distributed and drives necessary and sufficient conditions for the valuation of options using a Black-Scholes type methodology. It is shown that the price of a futures-style, market-to-market option is given by Black s formula if the pricing kernel is lognormally distributed. Assuming that this condition is fulfilled, it is then shown that the Black-Scholes formula prices a spot-settled contingent claim, if the interest-rate accumulation factor is lognormally distributed. Otherwise, the Black-Scholes formula holds if the product of the pricing kernel and the interest-rate accumulation factor is lognormally distributed.
Arbitrage Pricing and Equilibrium Pricing
Author: Elyes JouiniPublisher:
ISBN:
Category :
Languages : en
Pages : 47
Book Description
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information: the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price processes. In the more realistic context of partial information, the equilibrium analysis permits to construct a unique valuation operator which only depends on some particular price processes as well as on the dividends process. In this paper we present these two approaches and we explore their links and the conditions under which they are compatible ; In particular, we derive from the equilibrium conditions some links between the price processes paramaters and those of the dividend processes paramaters.
Arbitrage Theory in Continuous Time
Author: Tomas BjörkPublisher:
ISBN: 0191525103
Category : Arbitrage
Languages : en
Pages : 325
Book Description
This text provides an accessible introduction to the classical mathematical underpinnings of modern finance. Professor Bjork concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives.
Method of Moments Tests of Contingent Claims Asset Pricing Models
Author: Peter BossaertsPublisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 49
Book Description
Arbitrage Theory
Author: Jochen E.M. WilhelmPublisher: Springer Science & Business Media
ISBN: 3642500943
Category : Business & Economics
Languages : en
Pages : 124
Book Description
The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re sults given in these lectures apply to a continuous time framework but, probably, in continuous time we could achieve stronger results - of course at the price of stronger assumptions). It has been turned out in the last few years that capital market theory as derived and evolved from the capital asset pricing model (CAPM) in the middle sixties, can, to an astonishing extent, be based on arbitrage arguments only, rather than on mean-variance preferences of investors. On the other hand, ar bitrage arguments provided access to a wider range of results which could not be obtained by standard CAPM-methods, e. g. the valuation of contingent claims (derivative assets) Dr the_ investigation of futures prices. To some extent the presentation will loosely follow historical lines. A selected set of capital asset pricing models will be derived according to their historical progress and their increasing complexity as well. It will be seen that they all share common structural properties. After having made this observation the presentation will become an axiomatical one: it will be stated in precise terms what arbitrage is about and what the consequences are if markets do not allow for risk-free arbitrage opportunities. The presentation will partly be accompanied by an illus trating example: two-state option pricing.