.png){kind=icon}
Return
Spanning and derivative-security valuation
.png){kind=icon}
PRE
AI
DOI：10.1016/S0304-405X(99)00050-1.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
This article provides the economic foundations for valuing derivative securities. In particular, it establishes how the characteristic function (of the future uncertainty) is basis augmenting and spans the payoff universe of most, if not all, derivative assets. From the characteristic function of the state-price density, it is possible to analytically price options on any arbitrary transformation of the underlying uncertainty. By differentiating (or translating) the characteristic function, limitless pricing and/or spanning opportunities can be designed. The strength and versatility of the methodology is inherent when valuing (1) average-interest options, (2) correlation options, and (3) discretely monitored knock-out options. (C) 2000 Elsevier Science S.A, All rights reserved. JEL classification: CIO; G12; G13.
Keywords:
spanning
characteristic functions
state-price density
pricing of contingent claims
Arrow-Debreu securities
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
12
Papers:
3.8K
Citations:
5.5W
Organization
No organization information available
Cited Papers
Protection against pneumococcal infection elicited by immunization with glutamyl tRNA synthetase, polyamine transport protein D and sortase A.png)
Vaccine
VaccineIF0
PREAI
ShareSaveAssociations between Bladder Cancer Risk Factors and Tumor Stage and Grade at DiagnosisEpidemiology
OAAI
EpidemiologyIF0
OAAIShareSaveShareSaveBOND PRICING AND THE TERM STRUCTURE OF INTEREST-RATES - A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATIONECONOMETRICA
OAAI
ECONOMETRICAIF7.1
OAAIShareSaveShareSaveShareSave
View more