unfeasible and therefore the pricing of the assets becomes a simultaneous valuation problem, nonlinearly depending on the … the share and sell the riskless bond. More surprisingly we find that the representative asset-pricing-model overprices the …

unfeasible and therefore the pricing of the assets becomes a simultaneous valuation problem, nonlineary depending on the … and the share and sell the riskless bond. More surprisingly we find that the representative asset-pricing-model overprices …

unfeasible and therefore the pricing of the assets becomes a simultaneous valuation problem, nonlinearly depending on the … the share and sell the riskless bond. More surprisingly we find that the representative asset-pricing-model overprices the …

In a discrete setting, we develop a model for pricing a contingent claim. Since the presence of hedging opportunities … influences the price of a contingent claim, first we introduce the optimal hedging strategy assuming a contingent claim has been … of the agent's revenue, which is the difference between the outcome of the hedging portfolio and the payoff of the claim …

We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur … is then provided together with the hedging strategy underlying portfolio adjustments. Under adequate conditions on the … stock price dynamics, the minimal pricing formula converges to the Black-Scholes formula when the triggering price increment …

and calendar time. This framework has hitherto been relatively unexploited to study derivative security pricing. This … paper studies the implications of absence of arbitrage in economies where: (i) trade takes place in transaction time, (ii … investigates the pricing of derivative securities with calendar-time maturity. The restrictions obtained in Merton (1973) using …