Financial Markets in Discrete Time

  • Jia-An Yan
Part of the Universitext book series (UTX)


In this chapter, after introducing the basic concepts of financial markets, we first use the binomial tree model to illustrate the risk-neutral valuation principle. Then we study the general discrete-time model and give the martingale characterization of arbitrage-free market and European contingent claims pricing. In addition, we discuss the investment strategy via expected utility maximization and utility function-based contingent claims pricing and market equilibrium pricing. In the end, we study the pricing of American contingent claims.


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© Springer Nature Singapore Pte Ltd. and Science Press 2018

Authors and Affiliations

  • Jia-An Yan
    • 1
  1. 1.Academy of Mathematics and System ScienceChineses Academy of SciencesBeijingChina

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