Market-Conform Valuation of Options (Paperback, 2006 ed.)

1. 1 The Area of Research In this thesis, we will investigate the 'market-conform' pricing of newly issued contingent claims. A contingent claim is a derivative whose value at any settlement date is determined by the value of one or more other underlying assets, e. g., forwards, futures, plain-vanilla or exotic options with European or American-style exercise features. Market-conform pricing means that prices of existing actively traded securities are taken as given, and then the set of equivalent martingale measures that are consistent with the initial prices of the traded securities is derived using no-arbitrage arguments. Sometimes in the literature other expressions are used for 'market-conform' valuation - 'smile-consistent' valuation or 'fair-market' valuation - that describe the same basic idea. The seminal work by Black and Scholes (1973) (BS) and Merton (1973) mark a breakthrough in the problem of hedging and pricing contingent claims based on no-arbitrage arguments. Harrison and Kreps (1979) provide a firm mathematical foundation for the Black-Scholes- Merton analysis. They show that the absence of arbitrage is equivalent to the existence of an equivalent martingale measure. Under this mea sure the normalized security price process forms a martingale and so securities can be valued by taking expectations. If the securities market is complete, then the equivalent martingale measure and hence the price of any security are unique."

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Lecture Notes in Economics and Mathematical Systems, 571
Release date:	2006
First published:	2006
Authors:	Tobias Herwig
Dimensions:	235 x 155 x 6mm (L x W x T)
Format:	Paperback
Pages:	106
Edition:	2006 ed.
ISBN-13:	978-3-540-30837-9
Categories:	Books > Business & Economics > Finance & accounting > Finance > Investment & securities > Stocks & shares Books > Money & Finance > Investment & securities > Stocks & shares Promotions
LSN:	3-540-30837-7
Barcode:	9783540308379

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!