Introduction to Stochastic Calculus Applied to Finance, Second Edition.
INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope...
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken :
CRC Press,
2011.
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| Edition: | 2nd ed. |
| Series: | Chapman & Hall/CRC financial mathematics series.
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| Subjects: | |
| Online Access: | CONNECT |
| Summary: | INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Decomposition of supermartingales Snell envelope and Markov chains Application to American options BROWNIAN MOTION AND STOCHASTIC DIFFERENTIAL EQUATIONS General comments on continuous-time processesBrownian motion Continuous-time martingales Stochastic integral and Itô calculus Stochastic differential equations THE BLACK-SCHOLES MODEL Description. |
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| Item Description: | EBSCO eBook Academic Comprehensive Collection North America EBSCO eBook Business Collection |
| Physical Description: | 1 online resource (253 pages) |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781420009941 142000994X |
