The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Options (New Perspectives)

  • Thaleia Zariphopoulou
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2553

Abstract

This article provides an overview of risk-neutral valuation methodology and presents historical milestones in the development of quantitative finance. It also discusses current challenges and new perspectives in model choice, pricing and hedging.

Keywords

Arbitrage Bachelier, L. Brace-Gatarek-Musiela model Barrier options Call options Continuous-time models Copulas Credit default obligations Credit default swaps Credit risk Derivatives Exotics Heath–Jarrow–Morton model Hedging Incomplete markets Libor Martingales Model calibration Model specification Option valuation Options Real options Reduced-form models of default Risk measures Risk-neutral pricing Risk-neutral valuation Stochastic integration theory Structural models of default Swap market models Term structure models Value at risk Vanilla options Volatility smile Yield curve 

JEL Classifications

G1 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Thaleia Zariphopoulou
    • 1
  1. 1.