Pricing dynamic binary variables and their derivatives

DOI10.1080/14697688.2011.584893zbMATH Open1278.91066OpenAlexW2015486360MaRDI QIDQ2873018FDOQ2873018

Authors: David G. Luenberger 

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.584893

Recommendations

• Pricing a nontradeable asset and its derivatives.
• Projection pricing
• A binomial contingent claims model for valuing risky ventures
• scientific article; zbMATH DE number 1234546
• Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets

zbMATH Keywords

real optionsasset pricingderivatives hedgingderivative pricing models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• The pricing of options and corporate liabilities
• Option pricing: A simplified approach
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
• Projection pricing
• Products of trees for investment analysis
• Pricing a nontradeable asset and its derivatives.
• Arbitrage and universal pricing.
• A correlation pricing formula.

Cited In (2)

• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• Relative pricing of binary options in live soccer betting markets

This page was built for publication: Pricing dynamic binary variables and their derivatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2873018)