Principles of infinitesimal stochastic and financial analysis / Imme van den Berg.

Format:

Book

Author/Creator:

Berg, Imme van den.

Language:

English

Subjects (All):

Options (Finance)--Prices--Mathematical models.

Options (Finance).

Stochastic analysis.

Physical Description:

1 online resource (148p.)

Place of Publication:

Singapore ; River Edge, N.J. : World Scientific, c2000.

Language Note:

English

Summary:

An analysis of the discrete-time version of the Black-Scholes model, namely the Cox-Ross-Rubinstein model. The book gives a complete description of its background. The novelty lies in the fact that orders of magnitude are imposed on the parameters of the model. The setting of this analysis is the discrete-time version of the Black-Scholes model, namely the Cox-Ross-Rubinstein model. The book gives a complete description of its background, which is now only the theory of finite stochastic processes. The novelty lies in the fact that orders of magnitude - in the sense of nonstandard analysis - are imposed on the parameters of the model. This not only makes the model more economically sound (such as rapid fluctuations of the market being represented by infinitesimal trading periods), but also leads to a significant simplification: the fundamental results of Black-Scholes theory are derived in full generality and with mathematical rigour, now at graduate level. The material has been repeatedly taught in a third-year course to econometricians.

Contents:

The binomial cone and the binomial coefficients; asymptotic properties of finite random variables; finite stochastic processes; stock prices; options.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references and index.

ISBN:

9789812779229

9812779221