CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
نویسندگان
چکیده
منابع مشابه
Pricing Continuously Resettled Contingent Claims
This paper is a study of continuously resettled contingent claims prices in a stochastic economy. As special cases, the relationship between futures and forward prices is analyzed, and a preference-free expression is derived for these prices, as well as the price of a continuously resettled futures option, whose formula differs from Black’s futures option pricing formula due to the effects of m...
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This paper develops and implements a methodology for pricing multivariate contingent claims (MVCC's) based on semiparametric estimation of the multivariate risk-neutral density function. This methodology generates MVCC prices which are consistent with current market prices of univariate contingent claims. This method allows for completely general marginal risk-neutral densities and is compatibl...
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As is well known, in a complete financial market every contingent claim can be perfectly replicated by a controlled portfolio of the traded securities and therefore admits a well-defined arbitrage-free price. In an incomplete market, to every contingent claim is associated an interval of arbitrage-free prices but, unless the contingent claim is replicable, in which case this set consists of a s...
متن کاملRole of Information in Pricing Default-sensitive Contingent Claims
We consider a financial market with a savings account and a stock S that follows a general diffusion. The default of the company, which issues the stock S, is modelled as a stopping time with respect to the filtration generated by the value of the firm that is not observable by regular investors. We assume that the stock price and the value of the firm are correlated. We study three investors w...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 1994
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.1994.tb00093.x