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Financial Markets in Discrete Time

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

Abstract

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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