[Read free] Pricing in (In)Complete Markets: Structural Analysis and Applications (Lecture Notes in Economics and Mathematical Systems)
❀ Angelika Esser ❀
#4483311 in eBooks 2012-08-27 2012-08-27File Name: B000PY3VT8
In this book, the authorsnbsp;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... [PDF.qc01] Pricing in (In)Complete Markets: Structural Analysis and Applications (Lecture Notes in Economics and Mathematical Systems) Rating: 3.71 (505 Votes)
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