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The Binomial Model

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0002
Subject:
Economics and Finance, Financial Economics

This chapter discusses the binomial model — the simplest nontrivial model of a financial market. It begins with the period version of the model, then the model is extended to an arbitrary number of ... More


Arbitrage Pricing

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0007
Subject:
Economics and Finance, Financial Economics

This chapter examines a special case of the general model derived in Chapter 6. It derives the model of a financial market, and then analyses the pricing of financial derivatives, specifically the ... More


FORWARD AND FUTURES PRICES OF CONTINGENT CLAIMS

Ser-Huang Poon and Richard Stapleton

in Asset Pricing in Discrete Time: A Complete Markets Approach

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.003.0006
Subject:
Economics and Finance, Financial Economics

‘Forward and Futures Prices of Contingent Claims’ applies the multi-period rational expectations model to analyse the pricing of forward and futures contracts and derives an expression for the ... More


ASSET PRICES IN A SINGLE-PERIOD MODEL

Ser-Huang Poon and Richard Stapleton

in Asset Pricing in Discrete Time: A Complete Markets Approach

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.003.0001
Subject:
Economics and Finance, Financial Economics

‘Asset Prices in a Single-period Model’ derives asset prices in a one-period model. The authors derive a version of the Capital Asset Pricing Model (CAPM) using a complete market, state-contingent ... More


Dividends

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0016
Subject:
Economics and Finance, Financial Economics

This chapter examines pricing problems for contingent claims which are written on dividend paying underlying assets. The study of dividends is of practical importance since in real life, the majority ... More


Change of Numeraire

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0024
Subject:
Economics and Finance, Financial Economics

This chapter discusses numeraire changes. It considers a pricing problem for a contingent claim χ, in a model with a stochastic short rate r. In most concrete cases, r and χ are not independent under ... More


The Binomial Model

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0002
Subject:
Economics and Finance, Financial Economics

In this chapter, we analyse the simplest model for option pricing: the binomial model.


Arbitrage Pricing

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0006
Subject:
Economics and Finance, Financial Economics

In this chapter, the reader is introduced to the Black‐Scholes model and to the basic ideas behind arbitrage pricing of contingent claims. We treat European options, futures, futures options, and ... More


Introduction

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0001
Subject:
Economics and Finance, Financial Economics

In this chapter, the reader is introduced, via a concrete example, to the general problem of pricing contingent claims.


Completeness and Hedging

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0007
Subject:
Economics and Finance, Financial Economics

In this chapter, we discuss the possibility of replicating a given contingent claim. We prove that the Black‐Scholes model is complete.


Speculation

Lodewijk Petram

in The World’s First Stock Exchange

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231163781
eISBN:
9780231537322
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231163781.003.0010
Subject:
Economics and Finance, Economic History

This chapter focuses on speculation in trading in the Dutch East India Company’s shares in seventeenth-century Amsterdam. The agreement between Hubertus Beens and Mozes Machado was an example of a ... More


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