Title
MarketConform Valuation of Options (Lecture Notes in Economics and Mathematical Systems, 571),Used
Sold by Ergodebooks, an authorized reseller.
Returns accepted within 30 days | support@ergodebooks.com
Shipping Information
- Free Standard Shipping — United States only
- Processing Time: 1–3 business days
- Estimated Delivery: 3–5 business days after dispatch
- Double-boxed, fully insured & discreetly packaged
- Tracking number sent via email once dispatched
- Orders over $250 require signature upon delivery. Taxes calculated at checkout.
Returns & Refund
Returns accepted within 30 days of delivery.
Damaged or Defective Item
Free return shipping + replacement or full refund
Wrong Item Received
Free return shipping + replacement or full refund
Change of Mind
Return shipping at customer's expense · 25% restocking fee applies
Payment Option
1. 1 The Area of Research In this thesis, we will investigate the 'marketconform' pricing of newly issued contingent claims. A contingent claim is a derivative whose value at any settlement date is determined by the value of one or more other underlying assets, e. g. , forwards, futures, plainvanilla or exotic options with European or Americanstyle exercise features. Marketconform pricing means that prices of existing actively traded securities are taken as given, and then the set of equivalent martingale measures that are consistent with the initial prices of the traded securities is derived using noarbitrage arguments. Sometimes in the literature other expressions are used for 'marketconform' valuation 'smileconsistent' valuation or 'fairmarket' valuation that describe the same basic idea. The seminal work by Black and Scholes (1973) (BS) and Merton (1973) mark a breakthrough in the problem of hedging and pricing contingent claims based on noarbitrage arguments. Harrison and Kreps (1979) provide a firm mathematical foundation for the BlackScholes Merton analysis. They show that the absence of arbitrage is equivalent to the existence of an equivalent martingale measure. Under this mea sure the normalized security price process forms a martingale and so securities can be valued by taking expectations. If the securities market is complete, then the equivalent martingale measure and hence the price of any security are unique.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm.
For more information, please visit www.P65Warnings.ca.gov.