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 structu...

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Bibliographic Details

Main Author:	Esser, Angelika (Author)
Format:	Electronic eBook
Language:	English
Published:	Berlin, Heidelberg Springer Berlin Heidelberg 2004
Edition:	1st ed. 2004
Series:	Lecture Notes in Economics and Mathematical Systems 537
Subjects:	Microeconomics Quantitative Finance Probability Theory and Stochastic Processes Finance, general Economics, Mathematical  Probabilities Finance Unvollkommener Markt Unvollkommener Kapitalmarkt Optionspreistheorie Preisbildung Mathematisches Modell Strukturanalyse Hochschulschrift
Online Access:	BTU01 Volltext
Summary:	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
Physical Description:	1 Online-Ressource (XI, 122 p. 2 illus)
ISBN:	9783642170652
DOI:	10.1007/978-3-642-17065-2