Introduction to Option Pricing Theory
Published in August 1999
Book
Hardback
280 pages
978-3-7643-4108-4 (ISBN)
Description
Stochastic processes have assumed and increasingly important role in the development of the mathematical theory of finance. This self-contained work examines that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structures.
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Gopinath Kallianpur | Rajeeva L. Karandikar
Introduction to Option Pricing Theory
Book
10/1999
Birkhauser Boston Inc
€106.99
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Content
Stochastic integration; Ito's formula and its applications; representation of square integrable martingales; stochastic differential equations; Girsanov's theorem; option pricing in discrete time; introduction to continuous time trading; arbitrage and equivalent martingale measures; complete markets; the Black and Scholes theory; discrete approximations; American options; asset pricing with stochastic volatility; the Russian options.