Login
- Document type:
- Buchbeitrag
- Author(s):
- Kallsen, J.
- Title:
- Option Pricing
- Pages contribution:
- 599-615
- 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.
- Editor:
- Andersen,T.; Davis, R.; Kreiß, J.; Mikosch, T.
- Book title:
- Handbook of Financial Time Series
- Publisher:
- Springer, Berlin
- Year:
- 2008
- Language:
- en
BibTeX