DYNAMICS-FREE PRICING

T. W. Epps
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T. W. Epps: University of Virginia, USA

Chapter 4 in Pricing Derivative Securities, 2000, pp 141-176 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Bond Prices and Interest Rates‘Spot’ Bond Prices and RatesForward Bond Prices and RatesUncertainty in Future Bond Prices and RatesForwards and FuturesForward Prices and Values of Forward ContractsDetermining Futures PricesIllustrations and CaveatsA Preview of Martingale PricingOptionsPayoff Distributions for European OptionsPut-Call ParityBounds on Option PricesHow Prices Vary with T, X, and St

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
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