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 ...
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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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Add this copy of Pricing in (In)Complete Markets: Structural Analysis to cart. $60.65, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2004 by Springer.
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New. Print on demand Trade paperback (US). Glued binding. 122 p. Contains: Illustrations, black & white, Tables, black & white. Lecture Notes in Economic and Mathematical Systems, 537.
Add this copy of Pricing in (in)Complete Markets to cart. $62.95, new condition, Sold by Basi6 International rated 5.0 out of 5 stars, ships from Irving, TX, UNITED STATES, published 2004 by Springer.
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