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

Abstract

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
Pages207-234
Number of pages28
DOIs
Publication statusPublished - 2015
Externally publishedYes

Publication series

NameDynamic Modeling and Econometrics in Economics and Finance
Volume21
ISSN (Print)1566-0419
ISSN (Electronic)2363-8370

Keywords

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

Fingerprint

Dive into the research topics of 'Pricing Derivative Securities: A General Approach'. Together they form a unique fingerprint.

Cite this