Market-Consistent Prices for Payoff Streams

Pablo Koch-Medina and Cosimo Munari
Additional contact information
Pablo Koch-Medina: University of Zurich, Department of Banking and Finance
Cosimo Munari: University of Zurich, Department of Banking and Finance

Chapter 18 in Market-Consistent Prices, 2020, pp 317-342 from Springer

Abstract: Abstract So far we have focused on financial contracts with a single maturity. In this chapter we extend the valuation framework to include financial contracts that involve payments at multiple dates. The flow of payoffs associated with such a contract is called a payoff stream. Although fairly straightforward, it is worthwhile to provide explicit results for payoff streams for two reasons. First, there are some features which may not be entirely intuitive, e.g., the fact that for a payoff stream to be replicable it is not necessary that the individual single-payoff components are replicable. Second, a clear understanding of payoff streams brings greater clarity to the study of American options in the next chapter.

Date: 2020
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-39724-1_18

Ordering information: This item can be ordered from
http://www.springer.com/9783030397241

DOI: 10.1007/978-3-030-39724-1_18

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().