Option Pricing with Discrete Rebalancing
| Year of publication: |
2002-07-01
|
|---|---|
| Authors: | Prigent, Jean-Luc ; Renault, Olivier ; Scaillet, Olivier |
| Publisher: |
International Center for Financial Asset Management and Engineering (FAME) <Genf> |
| Subject: | Optionspreistheorie | Unvollkommener Markt | Incomplete markets | Black-Scholes-Modell | Poisson-Prozess | Brownsche Bewegung | Brownian motion |
- 1. Introduction
- 2. Framework
- 3. Equivalent martingale measures
- 4. Option pricing with the minimal martingale measure
- 5. Convergence to the Black-Scholes model
- 6. Empirical illustrations
- 7. Concluding remarks
Persistent link: https://www.econbiz.de/10005843341