Chapter

Arbitrage Pricing

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print September 1998 | ISBN: 9780198775188
Published online November 2003 | e-ISBN: 9780191595981 | DOI: http://dx.doi.org/10.1093/0198775180.003.0006
 Arbitrage Pricing

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In this chapter, the reader is introduced to the Black‐Scholes model and to the basic ideas behind arbitrage pricing of contingent claims. We treat European options, futures, futures options, and also include a brief discussion on American options.

Keywords: arbitrage; arbitrage pricing; Black‐Scholes; contingent claims; futures; options; risk neutral valuation

Chapter.  10740 words.  Illustrated.

Subjects: Financial Markets

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