| 书目名称 | Introduction to Option Pricing Theory | | 编辑 | Gopinath Kallianpur,Rajeeva L. Karandikar | | 视频video | | | 图书封面 |  | | 描述 | Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance.This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory.Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure.This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito‘s theory of stochastic integration, integration with respect to semimartingales, Girsanov‘s Theorem, and a brief introduction to stochastic differential equations.Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility.In several chapters, new results are pre | | 出版日期 | Book 2000 | | 关键词 | Black-Scholes; Finance; Ornstein-Uhlenbeck process; Probability theory; Semimartingale; Statistik; Stochas | | 版次 | 1 | | doi | https://doi.org/10.1007/978-1-4612-0511-1 | | isbn_softcover | 978-1-4612-6796-6 | | isbn_ebook | 978-1-4612-0511-1 | | copyright | Springer Science+Business Media New York 2000 |
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发表于 2025-3-21 19:31:25
