Derivative pricing methodology in continuous-time models

作者:Capinski Marek*; Kopp Ekkehard
来源:Applied Mathematics Letters, 2012, 25(12): 2137-2139.
DOI:10.1016/j.aml.2012.05.011

摘要

We show that the fundamental methodology (and practice) of evaluation of derivative securities in continuous-time models is consistent with discrete-time theory, in which a derivative price is based on the principle that adding this security to the market does not create a violation of the basic economic principle: no riskless profit with zero investment.

  • 出版日期2012-12

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