Pricing Derivative Securities: A General Approach

Carl Chiarella*, Xue Zhong He, Christina Sklibosios Nikitopoulos

*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceedingChapterpeer-review


This chapter extends the hedging argument developed in Chap. 7 and the martingale approach developed in Chap. 8 by allowing derivative securities to depend on multiple sources of risks and multiple underlying factors, some are tradable and some are not tradable. It provides a general PDE and martingale approaches to pricing derivative securities.

Original languageEnglish
Title of host publicationDynamic Modeling and Econometrics in Economics and Finance
PublisherSpringer Science and Business Media Deutschland GmbH
Number of pages28
Publication statusPublished - 2015
Externally publishedYes

Publication series

NameDynamic Modeling and Econometrics in Economics and Finance
ISSN (Print)1566-0419
ISSN (Electronic)2363-8370


  • Excess Return
  • Option Price
  • Risk Free Rate
  • Risk Premium
  • Wiener Process


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