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Pricing Derivative Securities: A General Approach

In: Derivative Security Pricing

Author

Listed:
  • Carl Chiarella

    (University of Technology Sydney)

  • Xue-Zhong He

    (University of Technology Sydney)

  • Christina Sklibosios Nikitopoulos

    (University of Technology Sydney)

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.

Suggested Citation

  • Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Pricing Derivative Securities: A General Approach," Dynamic Modeling and Econometrics in Economics and Finance, in: Derivative Security Pricing, edition 127, chapter 0, pages 207-234, Springer.
    • Handle: RePEc:spr:dymchp:978-3-662-45906-5_10
    DOI: 10.1007/978-3-662-45906-5_10
    as

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