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Arbitrage pricing of contingent claims.

Author: Sigrid Müller
Publisher: Berlin u.a. : Springer, 1985.
Series: Lecture notes in economics and mathematical systems, 254.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
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Document Type: Book
All Authors / Contributors: Sigrid Müller
ISBN: 3540159738 9783540159735 0387159738 9780387159737
OCLC Number: 230823301
Description: VIII, 151 S.
Contents: 1 Introduction.- 2 The Valuation of Contingent Claims: A Survey.- 3 Existence of Consistent Price Systems.- 3.1 The basic model.- 3.2 Arbitrage and equivalent martingale measures.- 3.3 Examples.- 3.3.1 Geometric Brownian motion.- 3.3.2 A process with a random variance.- 3.3.3 Geometric Poisson process.- 4 The Continuous-time Trading Model.- 4.1 Continuous-time self-financing trading strategies.- 4.2 A characterization of P*-attainable contingent claims.- 4.3 Classes of P*-attainable contingent claims for specific security price processes.- 4.3.1 Geometric Brownian motion.- 4.3.2 A process with a random variance.- 4.3.3 Geometric Poisson process.- 4.4 The relationship between P*-attainable contingent claims and solutions of associated differencedifferential equations.- 4.5 Complete securities market models.- 4.6 Counterexamples.- 5 Extensions of the BLACK/SCHOLES Model.- 5.1 Determination of an equivalent martingale measure.- 5.2 The relationship between the original and the discounted model.- 5.3 Completeness and the determination of self-financing trading strategies in the case of a European call option.- 5.4 Completeness and the relaxation of assumptions.- 5.5 Incompleteness caused by variations of assumptions.- 6 From Preference-free to Preference-dependent Valuations of Contingent Claims: the Hedge Approach in Incomplete Models.- 7 Conclusion.- References.- A Appendix.- A 1 Notation.- A 2 Mathematical Tools.- A 2.1 Miscellany.- A 2.2 Measure theory.- A 2.3 Stochastic calculus.
Series Title: Lecture notes in economics and mathematical systems, 254.
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