Derivative pricing. A problem-based primer

DOI10.1201/9781315301235MaRDI QIDQ4621499zbMATH OpenOpenAlexFDO

Authors Ambrose Lo

Publication date 12 February 2019

Full work available at URL https://doi.org/10.1201/9781315301235

zbMATH Keywords

arbitrage pricingbinomial treesBlack-Scholes formuladerivatives instrumentsmartingale measureoptionsstochastic modelling

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Pricing financial derivatives by a minimizing method

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