Abstract
This chapter discusses the general principles of continuous-time financial market models. In the first section we use a rather general model, which will serve also as a reference in the later chapters. A thorough discussion of the benchmark multi-dimensional Black-Scholes model is the topic of the second section. We discuss the valuation of several standard and exotic contingent claims in the continuous-time Black-Scholes model in the third section. After examining the relation between continuous-time and discrete-time models we close with a discussion of futures and currency markets.
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© 1998 Springer-Verlag London
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Bingham, N.H., Kiesel, R. (1998). Mathematical Finance in Continuous Time. In: Risk-Neutral Valuation. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-4471-3619-4_6
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DOI: https://doi.org/10.1007/978-1-4471-3619-4_6
Publisher Name: Springer, London
Print ISBN: 978-1-4471-3621-7
Online ISBN: 978-1-4471-3619-4
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