Title: Pricing in (In)Complete Markets: Structural Analysis and Applications (Lecture Notes in Economics and Mathematical Systems, 537)
Publisher: Springer
Publication Date: 2004
Language: English
ISBN 10: 3540208178
ISBN 13: 9783540208174
Binding: Soft cover
Condition: New

About this title

Synopsis

In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor.

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