Pricing in (In)Complete Markets: Structural Analysis and Applications: 537 (Lecture Notes in Economics and Mathematical Systems, 537) - Softcover
Book 59 of 126: Lecture Notes in Economics and Mathematical Systems
Synopsis
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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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 140 pp. Englisch. Seller Inventory # 9783540208174
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Pricing in (In)Complete Markets
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 pr. Seller Inventory # 4884856
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Pricing in (In)Complete Markets
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 140 pp. Englisch. Seller Inventory # 9783540208174
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Pricing in (In)Complete Markets : Structural Analysis and Applications
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ISBN 10: 3540208178
ISBN 13: 9783540208174
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Taschenbuch. Condition: 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. Seller Inventory # 9783540208174