Dynamic Arbitrage: Options

Michael Allingham
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Michael Allingham: University of Kent

Chapter 6 in Arbitrage, 1991, pp 119-162 from Palgrave Macmillan

Abstract: Abstract This chapter continues the application of the basic arbitrage theorem in a many-period setting to value call and put options, and thus to value all derivative securities.

Keywords: Option Price; Implied Volatility; Future Price; Future Contract; Price Formula (search for similar items in EconPapers)
Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-349-21385-6_6

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DOI: 10.1007/978-1-349-21385-6_6

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