RISK MANAGEMENT: APPLICATIONS TO THE PRICING OF ASSETS AND DERIVATIVES IN COMPLETE MARKETS

Mondher Bellalah
Additional contact information
Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 12 in Derivatives, Risk Management & Value, 2009, pp 535-581 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionCharacterization of Complete MarketsPricing Derivative Assets: The Case of Stock OptionsThe problemThe PDE methodThe martingale methodPricing Derivative Assets: The Case of Bond Options and Interest Rate OptionsArbitrage-free family of bond pricesTime-homogeneous modelsTime-inhomogeneous modelsAsset Pricing in Complete Markets: Changing Numeraire and TimeAssumptions and the valuation contextValuation of derivatives in a standard Black–Scholes–Merton economyChanging numeraire and time: The martingale approach and the PDE approachValuation in an Extended Black and Scholes Economy in the Presence of Information CostsSummaryQuestionsAppendix A: The Change in Probability and the Girsanov TheoremAppendix B: Resolution of the Partial Differential Equation for a European Call Option on a Non-Dividend Paying Stock in the Standard ContextAppendix C: Approximation of the Cumulative Normal DistributionAppendix D: Leibniz's Rule for Integral DifferentiationAppendix E: Pricing Bonds: Mathematical FoundationsExpectations HypothesesExercisesSolutionReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812838636_0012 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812838636_0012 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812838636_0012

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().