SIMPLE EXTENSIONS AND GENERALIZATIONS OF THE BLACK–SCHOLES TYPE MODELS IN THE PRESENCE OF INFORMATION COSTS

Mondher Bellalah
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Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 13 in Derivatives, Risk Management & Value, 2009, pp 583-612 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionDifferential Equation for a Derivative Security on a Spot Asset in the Presence of a Continuous Dividend Yield and Information CostsThe Valuation of Securities Dependent on Several Variables in the Presence of Incomplete Information: A General MethodThe General Differential Equation for the Pricing of DerivativesExtension of the Risk-Neutral Argument in the Presence of Information CostsExtension to Commodity Futures Prices within Incomplete InformationDifferential equation for a derivative security dependent on a futures price in the presence of information costsCommodity futures pricesConvenience yieldsSummaryQuestionsAppendix A: A General Equation for Derivative SecuritiesAppendix B: Extension to the Risk-Neutral Valuation ArgumentExercisessolutionReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
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