Pricing Derived Securities Under an Edgeworthian Process

S.Y. Wu () and C.Z. Qin
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S.Y. Wu: University of Iowa

Working Papers from University of Iowa, Department of Economics

Abstract: The purpose of this paper is twofold. First, it introduces a new version of the Edgeworth process with trading activities centered around self-interested enterprising arbitragers; and second it examines how the prices of the derived securities are deteremined under this process.

Keywords: FINANCIAL MARKET; SECURITIES; PRICING; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: G12 G30 G39 (search for similar items in EconPapers)
Pages: 40 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:uia:iowaec:96-01

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