Abstract
-
4.1 Introduction
-
4.2 The Cox-Ross-Rubinstein Models
-
4.3 Options and Contingent Claims
-
4.3.1 Pricing a claim
-
-
4.4 The Black-Scholes Model
-
4.5 The Black-Scholes Model and Hyperfinite CRR Models
-
4.5.1 The Black-Scholes formula
-
4.5.2 General claims
-
-
4.6 Convergence of Market Models
-
4.7 Discretisation Schemes
-
4.8 Further Developments
-
4.8.1 Poisson pricing models
-
4.8.2 American options
-
4.8.3 Incomplete markets
-
4.8.4 Fractional Brownian motion
-
4.8.5 Interest rates
-
Chapter PDF
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2000 Springer-Verlag Berlin/Heidelberg
About this chapter
Cite this chapter
Cutland, N.J. (2000). 4. Mathematical Finance Theory. In: Loeb Measures in Practice: Recent Advances. Lecture Notes in Mathematics, vol 1751. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-44531-9_4
Download citation
DOI: https://doi.org/10.1007/978-3-540-44531-9_4
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-41384-4
Online ISBN: 978-3-540-44531-9
eBook Packages: Springer Book Archive