The Pricing of Financial Derivatives under Transaction Costs
Die Bewertung von Finanzderivaten unter Transaktionskosten
- This work is concerned with arbitrage bounds for prices of contingent claims under transaction costs, but regardless of other conceivable market frictions. Assumptions on the underlying market are held as weak as convenient for the deduction of meaningful results that make good economic sense. In discrete time we also allow for underlying price processes with uncountable state space. In continuous time the underlying price process is modeled by a semimartingale. For the most part we could avoid any stronger assumptions. The main problems with which we deal in this work are the modelling of (proportional) transaction costs, Fundamental Theorems of Asset Pricing under transaction costs, dual characterizations of arbitrage bounds under transaction costs, Quantile-Hedging under transaction costs, alternatives to the Black-Scholes model in continuous time (under transaction costs). The results apply to stock and currency markets.
Verfasserangaben: | Markus Rudolf Schmidt |
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URN: | urn:nbn:de:hbz:385-2168 |
DOI: | https://doi.org/10.25353/ubtr-xxxx-4aab-4461/ |
Betreuer: | Harald Luschgy, Prof.Dr. |
Dokumentart: | Dissertation |
Sprache: | Englisch |
Datum der Fertigstellung: | 15.06.2004 |
Veröffentlichende Institution: | Universität Trier |
Titel verleihende Institution: | Universität Trier, Fachbereich 4 |
Datum der Abschlussprüfung: | 06.07.2001 |
Datum der Freischaltung: | 15.06.2004 |
Freies Schlagwort / Tag: | financial derivatives; pricing; transaction costs |
GND-Schlagwort: | Arbitrage-Pricing-Theorie; Derivat <Wertpapier>; Transaktionskosten |
Institute: | Fachbereich 4 / Mathematik |
DDC-Klassifikation: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |