Scaling Invariance and Contingent Claim Pricing
نویسندگان
چکیده
منابع مشابه
Contingent claim pricing through a continuous time variational bargaining scheme
We consider a variational problem modelling the evolution with time of two probability measures representing the subjective beliefs of a couple of agents engaged in a continuous-time bargaining pricing scheme with the goal of finding a unique price for a contingent claim in a continuous-time financial market. This optimization problem is coupled with two finite dimensional portfolio optimizatio...
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The existence of an adapted solution to a backward stochastic differential equation which is not adapted to the ltration of the underlying Brownian motion is proved. This result is applied to the pricing of contingent claims. It allows to compare the prices of agents who have di erent information about the evolution of the market. The problem is considered in both the classical and the F ollme...
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This paper extends basic results on arbitrage bounds and attainable claims to illiquid markets and general swap contracts where both claims and premiums may have multiple payout dates. Explicit consideration of swap contracts is essential in illiquid markets where the valuation of swaps cannot be reduced to the valuation of cumulative claims at maturity. We establish the existence of optimal tr...
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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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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1999
ISSN: 1556-5068
DOI: 10.2139/ssrn.180888