Log in

Relevant bibliographies by topics / Martingale approach in option pricing / Books

To see the other types of publications on this topic, follow the link: Martingale approach in option pricing.

Books on the topic 'Martingale approach in option pricing'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 24 books for your research on the topic 'Martingale approach in option pricing.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse books on a wide variety of disciplines and organise your bibliography correctly.

1

Pascucci, Andrea. PDE and Martingale Methods in Option Pricing. Milano: Springer Milan, 2011. http://dx.doi.org/10.1007/978-88-470-1781-8.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Chorro, Christophe, Dominique Guégan, and Florian Ielpo. A Time Series Approach to Option Pricing. Berlin, Heidelberg: Springer Berlin Heidelberg, 2015. http://dx.doi.org/10.1007/978-3-662-45037-6.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Page, H. A practical approach to option pricing theory. Dublin: University College Dublin, 1994.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

4

Risk-adjusted lending conditions: An option pricing approach. Chichester: John Wiley & Sons, 2002.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

5

Rosenberger, Werner. Risk-adjusted lending conditions: An option pricing approach. Chichester: John Wiley, 2003.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

6

Lee, Jaewoo. Insurance value of international reserves: An option pricing approach. [Washington D.C.]: International Monetary Fund, Research Dept., 2004.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

7

Baranzini, Andrea. Uncertainty and global warming: An option-pricing approach to policy. Washington, D.C: World Bank, Latin America and the Caribbean, Country Dept. I, Country Operations Division, 1995.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

8

Katz, Jeffrey Owen. Advanced option pricing models: An empirical approach to valuing options. New York: McGraw-Hill, 2005.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

9

Claessens, Stijn. An option-pricing approach to secondary market debt: Applied to Mexico. Washington, DC: Data and International Finance Division, International Economics Dept. and the Country Operations Division, Latin America and the Caribbean Country Dept. II, World Bank, 1990.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

10

Estache, Antonio. Evaluating the minimum asset tax on corporations: An option pricing approach. London: Centre for Economic Policy Research, 1992.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

11

Onimus, Jil Caroline. Assessing the Economic Value of Venture Capital Contracts: An Option Pricing Approach. Wiesbaden: Gabler Verlag / Springer Fachmedien Wiesbaden GmbH, Wiesbaden, 2011.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

12

Pde And Martingale Methods In Option Pricing. Springer, 2011.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

13

Pascucci, Andrea. PDE and Martingale Methods in Option Pricing. Springer, 2014.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

14

Pascucci, Andrea. PDE and Martingale Methods in Option Pricing. Springer, 2011.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

15

Back, Kerry E. Forwards, Futures, and More Option Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0017.

Full text

Abstract:

Forward measures are defined. Forward and futures contracts are explained. The spot‐forward parity formula is derived. A forward price is a martingale under the forward measure. A futures price is a martingale under a risk neutral probability. Forward prices equal futures prices when interest rates are nonrandom. The expectations hypothesis is explained. The option pricing formulas of Margabe (exchange options), Black (options on forwards), and Merton (random interest rates) are derived. Implied volatilities and local volatility models are explained. Heston’s stochastic volatility model is derived.

APA, Harvard, Vancouver, ISO, and other styles

16

Jarrow, Robert A. Continuous-Time Asset Pricing Theory: A Martingale-Based Approach. Springer, 2019.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

17

Jarrow, Robert A. Continuous-Time Asset Pricing Theory: A Martingale-Based Approach. Springer, 2018.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

18

Perrakis, Stylianos. Stochastic Dominance Option Pricing: An Alternative Approach to Option Market Research. Palgrave Macmillan, 2019.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

19

Rosenberger, Werner. Risk-Adjusted Lending Conditions: An Option Pricing Approach. Wiley & Sons, Incorporated, John, 2003.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

20

Rosenberger, Werner. Risk-Adjusted Lending Conditions: An Option Pricing Approach. Wiley & Sons, Incorporated, John, 2010.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

21

Baranzini, Andrea, Marc Chesney, and Jacques Morisset. Uncertainty and Global Warming: An Option-Pricing Approach to Policy. The World Bank, 1999. http://dx.doi.org/10.1596/1813-9450-1417.

Full text

APA, Harvard, Vancouver, ISO, and other styles

22

Rosenberger, Werner. Risk-adjusted Lending Conditions: An Option Pricing Approach (The Wiley Finance Series). Wiley, 2003.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

23

Björk, Tomas. Arbitrage Theory in Continuous Time. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198851615.001.0001.

Full text

Abstract:

The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, the book is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but the mathematical theory is also always supplemented with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Björk has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. There is also an entirely new part of the book presenting dynamic equilibrium theory. This includes several chapters on unit net supply endowments models, and the Cox–Ingersoll–Ross equilibrium factor model (including the CIR equilibrium interest rate model). Providing two full treatments of arbitrage theory—the classical delta hedging approach and the modern martingale approach—the book is written in such a way that these approaches can be studied independently of each other, thus providing the less mathematically oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action.

APA, Harvard, Vancouver, ISO, and other styles

24

Lux, Thomas, and Mawuli Segnon. Multifractal Models in Finance. Edited by Shu-Heng Chen, Mak Kaboudan, and Ye-Rong Du. Oxford University Press, 2018. http://dx.doi.org/10.1093/oxfordhb/9780199844371.013.8.

Full text

Abstract:

This chapter provides an overview over the recently developed so-called multifractal (MF) approach for modeling and forecasting volatility. For analysts and policy makers, volatility is a key variable for understanding market fluctuations. Analysts need accurate forecasts of volatility for tasks such as risk management, as well as option and futures pricing. In addition, asset market volatility plays an important role in monetary policy. The chapter, then, outlines the genesis of the multifractal approach from similar models of turbulent flows in statistical physics and provides details about different specifications of multifractal time series models in finance, available methods for their estimation, and the current state of their empirical applications.

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!