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Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 537)
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Table of contents (6 chapters)
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Front Matter
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Back Matter
About this book
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.
Authors and Affiliations
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Faculty of Economics and Business Administration, Johann Wolfgang Goethe-University Frankfurt, Frankfurt, Germany
Angelika Esser
Bibliographic Information
Book Title: Pricing in (In)Complete Markets
Book Subtitle: Structural Analysis and Applications
Authors: Angelika Esser
Series Title: Lecture Notes in Economics and Mathematical Systems
DOI: https://doi.org/10.1007/978-3-642-17065-2
Publisher: Springer Berlin, Heidelberg
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eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2004
Softcover ISBN: 978-3-540-20817-4Published: 23 January 2004
eBook ISBN: 978-3-642-17065-2Published: 27 August 2012
Series ISSN: 0075-8442
Series E-ISSN: 2196-9957
Edition Number: 1
Number of Pages: XI, 122
Number of Illustrations: 2 b/w illustrations
Topics: Microeconomics, Quantitative Finance, Probability Theory and Stochastic Processes, Finance, general