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Arbitrage Theory in Continuous Time$
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Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

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Arbitrage Pricing

Arbitrage Pricing

Chapter:
(p.88) 7 Arbitrage Pricing
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271267.003.0007

This chapter examines a special case of the general model derived in Chapter 6. It derives the model of a financial market, and then analyses the pricing of financial derivatives, specifically the European call option. Black formulas are derived for options written on a futures contract. Practice exercises are included.

Keywords:   financial derivative, European call option, arbitrage pricing, financial market, contingent claims, futures, options, volatility

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