Download PDF by Sigrid Müller: Arbitrage Pricing of Contingent Claims

By Sigrid Müller

ISBN-10: 3540159738

ISBN-13: 9783540159735

ISBN-10: 3642465609

ISBN-13: 9783642465604

This booklet is meant as a contribution to the idea of contingent declare valuation according to arbitrage issues. it truly is inquisitive about preference-free valuations of contingent claims (such as suggestions written on a inventory) in frictionless multiperiod securities markets that don't enable arbitrage gains. along with the query of pricing it considers the potential of hedging in securities markets. The examine stated during this e-book used to be performed on the Institut fUr Gesellschafts- und Wirtschaftswissenschaften, collage of Bonn. whereas operating during this box and getting ready this monograph I bought valuable reviews and encouragement from many folks, and that i wish to thank them all. specified thank you are as a result of Prof. Dr. Dieter Sonder mann. He first prompted my curiosity within the idea of contingent declare valuation and commented on my paintings at numerous levels. in addition, i need to thank Profs. Martin Hellwig, Peter Schonfeld and Klaus SchUrger, all collage of Bonn, for valuable reviews on prior ver sions of this monograph. components of this monograph have been provided at va rious conferences together with the eu assembly of the Econometric Socie ty, Pisa 1983, the ecu assembly of the Econometric Society, Madrid 1984, and the 3rd convention "Geld, Banken und Versicherungen," Karls ruhe 1984. I vastly have fun with reviews of Profs. Stephen Ross, Yale collage, and Michael Brennan, UCLA. I take this chance to ex press my indebtness to my colleague Dr. Shinichiro Nakamura for his con stant encouragement throughout the hard means of penning this mono graph.

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11).

252 . It is intended to model the following phenomenon. A security price process evolves like a geometric Brownian motion up to a date to' when an event occurs, which influences the para- meters of the process. One might think, for example, of the outcome of an election. Depending on the event, the security price process evolves like a geometric Brownian motion with a changed parameter up to time t = T. Consider a Brownian motion Wand an independent random variable 1A on a probability space (n,F,P*) with P*{A) := e*, e* E (0,1).

42 We used a result that reduces the calculation of conditional expectations to the calculation of ordinary expectations (cf. CHOW/TEICHER (1978), p. 13) for a normally distributed random variable Y with mean a and var iance T 2. 11).

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