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Discrete market models

  • Andrea Pascucci
Part of the Bocconi & Springer Series book series (BS)

Abstract

In this chapter we describe market models in discrete time to price and hedge European and American-style derivatives. We present the classical model introduced by Cox, Ross and Rubinstein in [78] and we mention briefly the pricing problem in incomplete markets. General references on topics covered in this chapter are Dana and Jeanblanc [84], Föllmer and Schied [134], Lamberton and Lapeyre [226], Pliska [282], Shreve [310], van der Hoek and Elliott [329]: we also mention Pascucci and Runggaldier [277] where several examples and exercises can be found.

Keywords

Risky Asset Call Option American Option Underlying Asset Hedging Strategy 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Andrea Pascucci
    • 1
  1. 1.Department of MathematicsUniversity of BolognaBologna

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