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Arbitrage Theory in Continuous Time$
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Arbitrage Theory in Continuous Time

Tomas Björk

Print publication date: 1998

Print ISBN-13: 9780198775188

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198775180.001.0001

Arbitrage Pricing

Chapter:
(p. 76 ) 6 Arbitrage Pricing
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198775180.003.0006

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

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