Asset pricing in discrete time: a complete markets approach
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Oxford
Oxford University Press
2005
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xii, 140 p. graph. Darst. |
| ISBN: | 0199271445 |
Internformat
MARC
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| 245 | 1 | 0 | |a Asset pricing in discrete time |b a complete markets approach |c Ser-Huang Poon and Richard C. Stapleton |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Oxford |b Oxford University Press |c 2005 | |
| 300 | |a xii, 140 p. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Econometrische modellen |2 gtt | |
| 650 | 7 | |a Effectenhandel |2 gtt | |
| 650 | 4 | |a Modèle de fixation du prix des actifs | |
| 650 | 7 | |a Prijsvorming |2 gtt | |
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 0 | 7 | |a Diskretes Modell |0 (DE-588)7521531-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |2 gnd |9 rswk-swf |
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| 689 | 0 | 1 | |a Optionspreistheorie |0 (DE-588)4135346-8 |D s |
| 689 | 0 | 2 | |a Diskretes Modell |0 (DE-588)7521531-7 |D s |
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Datensatz im Suchindex
| _version_ | 1804134555466072064 |
|---|---|
| adam_text | CONTENTS
Preface vii
1 Asset Prices in a Single period Model 1
1.1 Initial Setup and Key Assumptions 1
1.2 Properties of the State Price, ?j 3
1.3 A Simplification of the State Space 3
1.4 The Pricing Kernel, fa 4
1.5 The Capital Asset Pricing Model 7
1.6 The Arbitrage Pricing Theory 9
1.7 Risk Aversion and the Pricing Kernel in an
Equilibrium Model 10
1.8 Examples 12
1.8.1 Case 1: Risk Neutrality 12
1.8.2 Case 2: Utility is Quadratic 12
1.9 A Note on the Equivalent Martingale Measure 13
1.10 A Note on the Asset Specific Pricing
Kernel, i (xj) 14
1.11 Conclusions 15
2 Risk Aversion, Background Risk, and the
Pricing Kernel 19
2.1 Risk Aversion and Declining Marginal
Utility of Wealth 19
2.2 Absolute Risk Aversion 21
2.2.1 Relative Risk Aversion 22
2.2.2 The Elasticity of the Pricing Kernel 25
2.2.3 Prudence 26
2.3 Background Risk and the Pricing Kernel 30
2.3.1 Consumption Optimisation Under
Background Risk 32
2.3.2 The Precautionary Premium and the
Shape of the Pricing Kernel 33
2.4 Conclusion 35
2.5 Appendix: Properties of the
Precautionary Premium 35
x CONTENTS
3 Option Pricing in a Single period Model 39
3.1 The General Case 39
3.2 An example: Quadratic Utility and Joint normal
Distribution for Xj and xm 40
3.3 Option Valuation When Xj is Lognormal 41
3.3.1 Notation for the Lognormal Case 42
3.3.2 The Asset Specific Pricing Kernel 42
3.3.3 The Risk adjusted PDF 43
3.3.4 The Forward Price of the Underlying
Asset under Lognormality 46
3.3.5 The Lognormal RNVR 46
3.4 The Black Scholes Price of a European
Call Option 47
3.4.1 Some Applications of the General
Black Scholes Formula 49
3.5 The Black Scholes Model and the
Elasticity of the Pricing Kernel 51
3.6 Sufficient Conditions for i/ (xj) to have
Constant Elasticity 52
3.7 Conclusion 53
3.8 Appendix: The Normal Distribution 54
4 Valuation of Contingent Claims: Extensions 57
4.1 Sufficient Conditions for Constant Elasticity 58
4.1.1 Asset Price Follows a Geometric
Brownian Motion 58
4.1.2 Lognormal Wealth and Power Utility 59
4.2 RNVR on Non Lognormal Prices 61
4.2.1 The Transformed Normal Distribution 61
4.2.2 The Asset specific Pricing Kernel 62
4.2.3 The Price of Contingent Claims 63
4.2.4 Pricing Options on a Normally
Distributed Asset Price 63
4.3 A Generalisation of the RNVR: Missing
Parameters in the Option Pricing Function 65
4.4 Contingent Claim Pricing given Non constant
Elasticity of the Pricing Kernel 68
4.4.1 Bounds on Option Prices 73
4.5 Conclusions 74
CONTENTS xi
4.6 Appendix 74
4.6.1 The Mean of a Truncated Normal
Variable 74
5 Multi period Asset Pricing 77
5.1 Basic Setup 77
5.2 A Complete Market: The Multi period Case 78
5.3 Pricing Multi period Cash Flows 80
5.3.1 The Time State Preference Approach 80
5.3.2 The Rational Expectations Model 82
5.3.3 The Relationship between the Time State
Preference and the Rational Expectations
Equilibria Prices 84
5.3.4 The Relationship between the Pricing
Kernels when Interest Rates are
Non stochastic 85
5.4 Multi Period Valuation Equilibrium:
Joint Normal Cash Flows 86
5.5 Time State Preference: Pricing Kernels in
a Multi period Equilibrium 89
5.6 Marginal Utility of Consumption and Wealth
in a Normal Distribution and Exponential
Utility Model 92
5.7 Conclusions 94
6 Forward and Futures Prices of
Contingent Claims 97
6.1 Forward and Futures Cash Flows 97
6.2 No arbitrage Relationships 98
6.3 Forward and Futures Prices in a Rational
Expectations Model 100
6.4 Futures and Forward Prices given
Lognormal Variables 104
6.5 Futures Rates and Forward Rates in
a Normal Interest rate Model 107
6.6 Futures and Forward Prices of European style
Contingent Claims 108
6.7 Conclusions and Further Reading 110
xii CONTENTS
7 Bond Pricing, Interest rate Processes,
and the LIBOR Market Model 113
7.1 Bond Pricing under Rational Expectations 113
7.1.1 Bond Forward Prices 115
7.1.2 Some Further Implications of Forward
Parity and Rational Expectations 116
7.2 The Drift of Forward Rates 117
7.2.1 FRA Pricing and the Drift of the
Forward Rate: One period Case 119
7.2.2 FRA Pricing and the Drift of the
Forward Rate: Two period Case 120
7.2.3 The Drift of the Forward Rate under
Lognormality 122
7.3 An Application of the Forward Rate Drift:
The LIBOR Market Model 124
7.4 Conclusions 126
7.5 Appendix 127
Appendix: Stein s Lemma 131
Bibliography 135
Index 139
|
| adam_txt |
CONTENTS
Preface vii
1 Asset Prices in a Single period Model 1
1.1 Initial Setup and Key Assumptions 1
1.2 Properties of the State Price, ?j 3
1.3 A Simplification of the State Space 3
1.4 The Pricing Kernel, fa 4
1.5 The Capital Asset Pricing Model 7
1.6 The Arbitrage Pricing Theory 9
1.7 Risk Aversion and the Pricing Kernel in an
Equilibrium Model 10
1.8 Examples 12
1.8.1 Case 1: Risk Neutrality 12
1.8.2 Case 2: Utility is Quadratic 12
1.9 A Note on the Equivalent Martingale Measure 13
1.10 A Note on the Asset Specific Pricing
Kernel, i (xj) 14
1.11 Conclusions 15
2 Risk Aversion, Background Risk, and the
Pricing Kernel 19
2.1 Risk Aversion and Declining Marginal
Utility of Wealth 19
2.2 Absolute Risk Aversion 21
2.2.1 Relative Risk Aversion 22
2.2.2 The Elasticity of the Pricing Kernel 25
2.2.3 Prudence 26
2.3 Background Risk and the Pricing Kernel 30
2.3.1 Consumption Optimisation Under
Background Risk 32
2.3.2 The Precautionary Premium and the
Shape of the Pricing Kernel 33
2.4 Conclusion 35
2.5 Appendix: Properties of the
Precautionary Premium 35
x CONTENTS
3 Option Pricing in a Single period Model 39
3.1 The General Case 39
3.2 An example: Quadratic Utility and Joint normal
Distribution for Xj and xm 40
3.3 Option Valuation When Xj is Lognormal 41
3.3.1 Notation for the Lognormal Case 42
3.3.2 The Asset Specific Pricing Kernel 42
3.3.3 The Risk adjusted PDF 43
3.3.4 The Forward Price of the Underlying
Asset under Lognormality 46
3.3.5 The Lognormal RNVR 46
3.4 The Black Scholes Price of a European
Call Option 47
3.4.1 Some Applications of the General
Black Scholes Formula 49
3.5 The Black Scholes Model and the
Elasticity of the Pricing Kernel 51
3.6 Sufficient Conditions for i/ (xj) to have
Constant Elasticity 52
3.7 Conclusion 53
3.8 Appendix: The Normal Distribution 54
4 Valuation of Contingent Claims: Extensions 57
4.1 Sufficient Conditions for Constant Elasticity 58
4.1.1 Asset Price Follows a Geometric
Brownian Motion 58
4.1.2 Lognormal Wealth and Power Utility 59
4.2 RNVR on Non Lognormal Prices 61
4.2.1 The Transformed Normal Distribution 61
4.2.2 The Asset specific Pricing Kernel 62
4.2.3 The Price of Contingent Claims 63
4.2.4 Pricing Options on a Normally
Distributed Asset Price 63
4.3 A Generalisation of the RNVR: Missing
Parameters in the Option Pricing Function 65
4.4 Contingent Claim Pricing given Non constant
Elasticity of the Pricing Kernel 68
4.4.1 Bounds on Option Prices 73
4.5 Conclusions 74
CONTENTS xi
4.6 Appendix 74
4.6.1 The Mean of a Truncated Normal
Variable 74
5 Multi period Asset Pricing 77
5.1 Basic Setup 77
5.2 A Complete Market: The Multi period Case 78
5.3 Pricing Multi period Cash Flows 80
5.3.1 The Time State Preference Approach 80
5.3.2 The Rational Expectations Model 82
5.3.3 The Relationship between the Time State
Preference and the Rational Expectations
Equilibria Prices 84
5.3.4 The Relationship between the Pricing
Kernels when Interest Rates are
Non stochastic 85
5.4 Multi Period Valuation Equilibrium:
Joint Normal Cash Flows 86
5.5 Time State Preference: Pricing Kernels in
a Multi period Equilibrium 89
5.6 Marginal Utility of Consumption and Wealth
in a Normal Distribution and Exponential
Utility Model 92
5.7 Conclusions 94
6 Forward and Futures Prices of
Contingent Claims 97
6.1 Forward and Futures Cash Flows 97
6.2 No arbitrage Relationships 98
6.3 Forward and Futures Prices in a Rational
Expectations Model 100
6.4 Futures and Forward Prices given
Lognormal Variables 104
6.5 Futures Rates and Forward Rates in
a Normal Interest rate Model 107
6.6 Futures and Forward Prices of European style
Contingent Claims 108
6.7 Conclusions and Further Reading 110
xii CONTENTS
7 Bond Pricing, Interest rate Processes,
and the LIBOR Market Model 113
7.1 Bond Pricing under Rational Expectations 113
7.1.1 Bond Forward Prices 115
7.1.2 Some Further Implications of Forward
Parity and Rational Expectations 116
7.2 The Drift of Forward Rates 117
7.2.1 FRA Pricing and the Drift of the
Forward Rate: One period Case 119
7.2.2 FRA Pricing and the Drift of the
Forward Rate: Two period Case 120
7.2.3 The Drift of the Forward Rate under
Lognormality 122
7.3 An Application of the Forward Rate Drift:
The LIBOR Market Model 124
7.4 Conclusions 126
7.5 Appendix 127
Appendix: Stein's Lemma 131
Bibliography 135
Index 139 |
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| id | DE-604.BV020845209 |
| illustrated | Illustrated |
| index_date | 2024-07-02T13:18:07Z |
| indexdate | 2024-07-09T20:26:28Z |
| institution | BVB |
| isbn | 0199271445 |
| language | English |
| lccn | 2005297655 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014167011 |
| oclc_num | 56463374 |
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| physical | xii, 140 p. graph. Darst. |
| publishDate | 2005 |
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| publisher | Oxford University Press |
| record_format | marc |
| spelling | Poon, Ser-Huang Verfasser (DE-588)130212318 aut Asset pricing in discrete time a complete markets approach Ser-Huang Poon and Richard C. Stapleton 1. publ. Oxford Oxford University Press 2005 xii, 140 p. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Econometrische modellen gtt Effectenhandel gtt Modèle de fixation du prix des actifs Prijsvorming gtt Capital assets pricing model Diskretes Modell (DE-588)7521531-7 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Optionspreistheorie (DE-588)4135346-8 s Diskretes Modell (DE-588)7521531-7 s DE-604 Stapleton, Richard C. 1942- Sonstige (DE-588)114959935 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014167011&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Poon, Ser-Huang Asset pricing in discrete time a complete markets approach Econometrische modellen gtt Effectenhandel gtt Modèle de fixation du prix des actifs Prijsvorming gtt Capital assets pricing model Diskretes Modell (DE-588)7521531-7 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)7521531-7 (DE-588)4121078-5 (DE-588)4135346-8 |
| title | Asset pricing in discrete time a complete markets approach |
| title_auth | Asset pricing in discrete time a complete markets approach |
| title_exact_search | Asset pricing in discrete time a complete markets approach |
| title_exact_search_txtP | Asset pricing in discrete time a complete markets approach |
| title_full | Asset pricing in discrete time a complete markets approach Ser-Huang Poon and Richard C. Stapleton |
| title_fullStr | Asset pricing in discrete time a complete markets approach Ser-Huang Poon and Richard C. Stapleton |
| title_full_unstemmed | Asset pricing in discrete time a complete markets approach Ser-Huang Poon and Richard C. Stapleton |
| title_short | Asset pricing in discrete time |
| title_sort | asset pricing in discrete time a complete markets approach |
| title_sub | a complete markets approach |
| topic | Econometrische modellen gtt Effectenhandel gtt Modèle de fixation du prix des actifs Prijsvorming gtt Capital assets pricing model Diskretes Modell (DE-588)7521531-7 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Econometrische modellen Effectenhandel Modèle de fixation du prix des actifs Prijsvorming Capital assets pricing model Diskretes Modell Capital-Asset-Pricing-Modell Optionspreistheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014167011&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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