Introduction to Option Pricing Theory
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Beschreibung
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In recent years stochastic processes have assumed an increasingly
important role in the development of the mathematical theory of
finance. This self-contained work examines that part of stochastic
finance pertaining to option pricing theory. Thus the exposition is
confined to areas of stochastic finance that are relevant to the
theory, omitting such topics as futures and term-structure.
Key features of this work include:
* accessible to readers with little or no prior knowledge of
stochastic processes or stochastic analysis,
* five introductory chapters on stochastic analysis, followed by
Autor*in
Gopinath Kallianpur
Themen in »Introduction to Option Pricing Theory«
Black-Scholes Finance Ornstein-Uhlenbeck process Probability theory Semimartingale Statistik Stochastic Differential Equations Stochastic processes Wahrscheinlichkeitsrechnung filtration geometric Brownian motion ksa quadratic variation statistics stochastic finance