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Simple Extensions And Generalizations Of The Black–Scholes Type Models In The Presence Of Information Costs

In: Derivatives, Risk Management & Value

Author

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  • Mondher Bellalah

    (Université de Cergy-Pontoise, France)

Abstract

The following sections are included:Chapter OutlineIntroductionDifferential Equation for a Derivative Security on a Spot Asset in the Presence of a Continuous Dividend Yield and Information CostsThe Valuation of Securities Dependent on Several Variables in the Presence of Incomplete Information: A General MethodThe General Differential Equation for the Pricing of DerivativesExtension of the Risk-Neutral Argument in the Presence of Information CostsExtension to Commodity Futures Prices within Incomplete InformationDifferential equation for a derivative security dependent on a futures price in the presence of information costsCommodity futures pricesConvenience yieldsSummaryQuestionsAppendix A: A General Equation for Derivative SecuritiesAppendix B: Extension to the Risk-Neutral Valuation ArgumentExercisessolutionReferences

Suggested Citation

  • Mondher Bellalah, 2009. "Simple Extensions And Generalizations Of The Black–Scholes Type Models In The Presence Of Information Costs," World Scientific Book Chapters, in: Derivatives, Risk Management & Value, chapter 13, pages 583-612, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812838636_0013
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