A partial introduction to financial asset pricing theory

We present an introduction to mathematical Finance Theory for mathematicians. The approach is to start with an abstract setting and then introduce hypotheses as needed to develop the theory. We present the basics of European call and put options, and we show the connection between American put options and backwards stochastic differential equations.

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Year of publication:	2001
Authors:	Protter, Philip
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 91.2001, 2, p. 169-203
Publisher:	Elsevier
Keywords:	Financial asset pricing theory Options Arbitrage Complete markets Numeraire invariance Semimartingale Backwards stochastic differential equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873630