Pricing in Complete Markets: Structural Analysis and Applications

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

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.

本帖隐藏的内容

104_Algebraic Modeling Systems.pdf (3.87 MB, 需要: 10 个论坛币)

2015-6-9 09:25:49 上传

上传文件失误，见谅！
需要: 10 个论坛币  [购买]

Pricing in (In)Complete Markets.pdf (9.11 MB, 需要: 10 个论坛币)

2015-6-9 09:28:04 上传

需要: 10 个论坛币  [购买]

Product Details File Size: 1322 KB Print Length: 122 pages Publisher: Springer; Softcover reprint of the original 1st ed. 2004 edition (January 23, 2004) Language: English ASIN: B000PY3VT8

本主题有两个隐藏附件，一个是与主题相关，另外一个上传错了无法删除，请大家忽略。

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏2 回帖

关键词：Applications Application Structural Analysis Complete comparison continuous presented equation general

好书啊，感谢楼主！

学习学习

看看都是什么内容

66666666666666666666666666666666666666

Alternative Investments

thanks!

回帖看看！！

谢谢分享~