Systems Concepts in Fiancial Pricing Theory
نویسنده
چکیده
Pricing theory is concerned with determining a realistic market-related price of an asset that is not yet marketed. There are several approaches to this issue, most of which use systems theory concepts, such as optimization, dynamic recursion, probability, stochastic process, and control. Pricing theory has therefore benefited greatly from systems theory. Systems theory can also benefit from pricing theory, for pricing theory provides critical guidance regarding the proper objective function for control problems involving random cash flow streams. This paper outlines these two complementary aspects of pricing theory and systems theory. Copyright c ©2002 IFAC
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