Option pricing in continuous time

Ebook Finance: A quantitative introduction - Part 2 includes contents: Option pricing in discrete time, option pricing in continuous time, real options analysis, selected option applications, agency problems and governance,... and other contents.

241p longtimenosee03 01-02-2024 6 1   Download

Ebook "Introduction to stochastic calculus for finance: A new didactic approach" presents a quick (but by no means "dirty") road to the tools required for advanced finance in continuous time, including option pricing by martingale methods, term structure models in a HJM-framework and the Libor market model. The reader should be familiar with elementary real analysis and basic probability theory.

144p loivantrinh 29-10-2023 12 3   Download

(BQ) Continued part 1, part 2 of the document The psychology of the foreign exchange market has contents: Option pricing in discrete time, option pricing in continuous time, real options analysis, selected option applications, agency problems and governance,... and other contents.

134p nanhankhuoctai7 01-07-2020 15 3   Download

While the demand for options can arise from many sources, our focus on jumps stems from fundamental considerations regarding the nature of price pro- cesses in an arbitrage-free economy. Recently, Madan [19] has argued that all arbitrage-free continuous time price processes must be both semi-martingales and time-changed Brownian motion. Furthermore, it is argued that if the time change is not locally deterministic, then the resulting price process is discontinuous.

27p quaivattim 04-12-2012 40 3   Download