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...

Ausführliche Beschreibung

Bibliographische Detailangaben

1. Verfasser:	Esser, Angelika (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Berlin, Heidelberg Springer Berlin Heidelberg 2004
Ausgabe:	1st ed. 2004
Schriftenreihe:	Lecture Notes in Economics and Mathematical Systems 537
Schlagworte:	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-Zugang:	BTU01 Volltext
Zusammenfassung:	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
Beschreibung:	1 Online-Ressource (XI, 122 p. 2 illus)
ISBN:	9783642170652
DOI:	10.1007/978-3-642-17065-2