Option Pricing

Jan Kallsen ()
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Jan Kallsen: Christian-Albrechts-Universität zu Kiel

Chapter 26 in Handbook of Financial Time Series, 2009, pp 599-613 from Springer

Abstract: Abstract This chapter reviews basic concepts of derivative pricing in financial mathematics.We distinguish market prices and individual values of a potential seller. We focus mainly on arbitrage theory. In addition, two hedgingbased valuation approaches are discussed. The first relies on quadratic hedging whereas the second involves a first-order approximation to utility indifference prices.

Keywords: Asset Price; Option Price; Contingent Claim; Incomplete Market; Arbitrage Opportunity (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_26

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DOI: 10.1007/978-3-540-71297-8_26

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