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Pricing in (In)Complete Markets: Structural Analysis And Applications: 537 (Lecture Notes in Economics and Mathematical Systems, 537) - Softcover
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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 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.
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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 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.
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Pricing in (In)Complete Markets: Structural Analysis and Applications (Lecture Notes in Economics and Mathematical Systems, 537)
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Pricing in (in)Complete Markets
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Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, 2004
ISBN 10: 3540208178
ISBN 13: 9783540208174
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Zustand: New. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 133 pages, 2 black & white illustrations, 1 black & white tables, biography. BIC Classification: KCC. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 234 x 156 x 7. Weight in Grams: 207. . 2004. Softcover reprint of the original 1st ed. 2004. Paperback. . . . . Books ship from the US and Ireland. Artikel-Nr. V9783540208174
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Pricing in (In)Complete Markets : Structural Analysis and Applications
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Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - In this book, the authorsinvestigate 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. Artikel-Nr. 9783540208174
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