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- Titel:
Option Pricing
- Dokumenttyp:
- Buchbeitrag
- Autor(en):
- Kallsen, J.
- Abstract:
- This paper reviews basic concepts of derivative pricing in finanicial mathematics. We distinguish market prices and individual values of a potential seller. We focus mainly on arbitrage theory. In addition, two hedging-based valuation approaches are discussed. The first relies on quadratic hedging whereas the second involves a first-order approximation to utility indifference prices.
- Seitenangaben Beitrag:
- 599-615
- Herausgeber:
- Andersen,T.; Davis, R.; Kreiß, J.; Mikosch, T.
- Buchtitel:
- Handbook of Financial Time Series
- Verlag / Institution:
- Springer, Berlin
- Jahr:
- 2008
- Sprache:
- en
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