The valuation of contingent claims markets
โ Scribed by Edward E. Schlee; Harris Schlesinger
- Publisher
- Springer
- Year
- 1993
- Tongue
- English
- Weight
- 757 KB
- Volume
- 6
- Category
- Article
- ISSN
- 0895-5646
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract We advance a model of the tradable permit market and derive a pricing formula for contingent claims traded in the market in a general equilibrium framework. It is shown that prices of such contingent claims exhibit significantly different properties from those in the ordinary financial
In this paper, we provide an analytic valuation method for European-type contingent claims written on multiple assets in a stochastic market environment. We employ a two-state Markov regime-switching volatility in order to reflect stochastically changing market conditions. The method is developed by