| 書目名稱 | Market-Conform Valuation of Options |
| 編輯 | Tobias Herwig |
| 視頻video | http://file.papertrans.cn/625/624250/624250.mp4 |
| 叢書名稱 | Lecture Notes in Economics and Mathematical Systems |
| 圖書封面 |  |
| 描述 | 1. 1 The Area of Research In this thesis, we will investigate the ‘market-conform‘ pricing of newly issued contingent claims. A contingent claim is a derivative whose value at any settlement date is determined by the value of one or more other underlying assets, e. g. , forwards, futures, plain-vanilla or exotic options with European or American-style exercise features. Market-conform pricing means that prices of existing actively traded securities are taken as given, and then the set of equivalent martingale measures that are consistent with the initial prices of the traded securities is derived using no-arbitrage arguments. Sometimes in the literature other expressions are used for ‘market-conform‘ valuation - ‘smile-consistent‘ valuation or ‘fair-market‘ valuation - that describe the same basic idea. The seminal work by Black and Scholes (1973) (BS) and Merton (1973) mark a breakthrough in the problem of hedging and pricing contingent claims based on no-arbitrage arguments. Harrison and Kreps (1979) provide a firm mathematical foundation for the Black-Scholes- Merton analysis. They show that the absence of arbitrage is equivalent to the existence of an equivalent martingale meas |
| 出版日期 | Book 2006 |
| 關(guān)鍵詞 | Arbitrage; Barrier Options; Computational Finance; Financial Derivatives; Numerical Methods; Option Valua |
| 版次 | 1 |
| doi | https://doi.org/10.1007/3-540-30838-5 |
| isbn_softcover | 978-3-540-30837-9 |
| isbn_ebook | 978-3-540-30838-6Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 2006 |
|Archiver|手機(jī)版|小黑屋|
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