Pricing Derivative Securities: A General Approach

Carl Chiarella, Xuezhong (Tony) He () and Christina Sklibosios Nikitopoulos
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Christina Sklibosios Nikitopoulos: University of Technology Sydney

Chapter Chapter 10 in Derivative Security Pricing, 2015, pp 207-234 from Springer

Abstract: Abstract This chapter extends the hedging argument developed in Chap. 7 and the martingale approach developed in Chap. 8 by allowing derivative securities to depend on multiple sources of risks and multiple underlying factors, some are tradable and some are not tradable. It provides a general PDE and martingale approaches to pricing derivative securities.

Keywords: Option Price; Risk Premium; Wiener Process; Excess Return; Risk Free Rate (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-662-45906-5_10

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DOI: 10.1007/978-3-662-45906-5_10

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