Titlebook: Arbitrage Pricing of Contingent Claims; Sigrid Müller Book 1985 Springer-Verlag Berlin Heidelberg 1985 Europe.research.survey.university

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Lecture Notes in Economics and Mathematical Systemshttp://image.papertrans.cn/b/image/161136.jpg

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Nationales Budgetrecht im Rahmen der WWU,is addressed and selffinancing generating trading strategies are determined for specific contingent claims. Apart from valuation purposes the determination of selffinancing generating trading strategies might be of interest for the purpose of hedging.

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Introduction,tingent claim pricing grew rapidly. Contingent claim pricing as opposed to general financial pricing theory studies the problem of valuing financial assets, whose value is explicitly dependent on the exogenously given value of some underlying asset. The most prominent example is a European call opti

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Existence of Consistent Price Systems,um model. A two-date economy with uncertainty is considered in Section 3.1, and the decision problem of an agent concerning his present consumption and state contingent future consumption by means of a trading strategy in securities is stated. Section 3.2 introduces the basic “no-arbitrage” assumpti

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The Continuous-time Trading Model,del, where agents may rearrange their portfolios at every time t ∈ [O,T]. For that purpose continuous-time selffinancing trading strategies are introduced in Section 4.1. Continuous-time selffinancing trading strategies allow for continuously rearranging the basic securities without requiring nor ge

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Extensions of the BLACK/SCHOLES Model,is addressed and selffinancing generating trading strategies are determined for specific contingent claims. Apart from valuation purposes the determination of selffinancing generating trading strategies might be of interest for the purpose of hedging.

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From Preference-free to Preference-dependent Valuations of Contingent Claims: the Hedge Approach inreference-free approach introduced in Chapter 4, since there do not exist selffinancing trading strategies generating them. Section 4.3.2 shows that such a situation might occur fairly easily. If one considers the BLACK/SCHOLES model with the only exception that the variance of the underlying stock