Option Pricing, Arbitrage and Martingales
نویسنده
چکیده
This paper provides a short introduction into the mathematical foundations of the theory of valuing derivative securities. We discuss the mathematical setting of option price theory and derive the relationship between no-arbitrage and mar-tingales. We provide examples how this theory can be applied to equity and foreign-exchange derivatives. We also explain how the theory can be applied to interest rate derivative securities and provide some examples.
منابع مشابه
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