| 书目名称 | Pricing in (In)Complete Markets |
| 副标题 | Structural Analysis |
| 编辑 | Angelika Esser |
| 视频video | |
| 丛书名称 | Lecture Notes in Economics and Mathematical Systems |
| 图书封面 |  |
| 描述 | .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.. |
| 出版日期 | Book 2004 |
| 关键词 | Arbitrage; Incomplete Markets; Martingale Pricing; Power Options; Stochastic Liquidity; Stochastic Volati |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-17065-2 |
| isbn_softcover | 978-3-540-20817-4 |
| isbn_ebook | 978-3-642-17065-2Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 2004 |
发表于 2025-3-21 19:17:17
