Arbitrage Pricing of Contingent Claims
Springer Berlin (Verlag)
978-3-540-15973-5 (ISBN)
Sigrid Müller, Univ.-Prof. Dr., Institut für Moraltheologie; Institut für Ethik und Recht in der Medizin, Universität Wien.
1 Introduction.- 2 The Valuation of Contingent Claims: A Survey.- 3 Existence of Consistent Price Systems.- 3.1 The basic model.- 3.2 Arbitrage and equivalent martingale measures.- 3.3 Examples.- 4 The Continuous-time Trading Model.- 4.1 Continuous-time self-financing trading strategies.- 4.2 A characterization of P*-attainable contingent claims.- 4.3 Classes of P*-attainable contingent claims for specific security price processes.- 4.4 The relationship between P*-attainable contingent claims and solutions of associated differencedifferential equations.- 4.5 Complete securities market models.- 4.6 Counterexamples.- 5 Extensions of the BLACK/SCHOLES Model.- 5.1 Determination of an equivalent martingale measure.- 5.2 The relationship between the original and the discounted model.- 5.3 Completeness and the determination of self-financing trading strategies in the case of a European call option.- 5.4 Completeness and the relaxation of assumptions.- 5.5 Incompleteness caused by variations of assumptions.- 6 From Preference-free to Preference-dependent Valuations of Contingent Claims: the Hedge Approach in Incomplete Models.- 7 Conclusion.- References.- A Appendix.- A 1 Notation.- A 2 Mathematical Tools.- A 2.1 Miscellany.- A 2.2 Measure theory.- A 2.3 Stochastic calculus.
Erscheint lt. Verlag | 1.10.1985 |
---|---|
Reihe/Serie | Lecture Notes in Economics and Mathematical Systems |
Zusatzinfo | VIII, 156 p. |
Verlagsort | Berlin |
Sprache | englisch |
Maße | 170 x 244 mm |
Gewicht | 301 g |
Themenwelt | Recht / Steuern ► EU / Internationales Recht |
Recht / Steuern ► Wirtschaftsrecht ► Handelsrecht | |
Schlagworte | Europe • Research • Survey • University |
ISBN-10 | 3-540-15973-8 / 3540159738 |
ISBN-13 | 978-3-540-15973-5 / 9783540159735 |
Zustand | Neuware |
Haben Sie eine Frage zum Produkt? |
aus dem Bereich