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A partial introduction to financial asset pricing theory

  • Protter, Philip
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    We present an introduction to mathematical Finance Theory for mathematicians. The approach is to start with an abstract setting and then introduce hypotheses as needed to develop the theory. We present the basics of European call and put options, and we show the connection between American put options and backwards stochastic differential equations.

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    File URL: http://www.sciencedirect.com/science/article/B6V1B-423HM68-1/2/62cdafbf1eb54408f47b059712eca5ba
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    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 91 (2001)
    Issue (Month): 2 (February)
    Pages: 169-203

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    Handle: RePEc:eee:spapps:v:91:y:2001:i:2:p:169-203
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    1. Robert A. Jarrow & Xing Jin & Dilip B. Madan, 1999. "The Second Fundamental Theorem of Asset Pricing," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 255-273.
    2. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    3. Brown, Donald J & Ross, Stephen A, 1991. "Spanning, Valuation and Options," Economic Theory, Springer, vol. 1(1), pages 3-12, January.
    4. Philip Protter & Michael Dritschel, 1999. "Complete markets with discontinuous security price," Finance and Stochastics, Springer, vol. 3(2), pages 203-214.
    5. Battig, Robert J & Jarrow, Robert A, 1999. "The Second Fundamental Theorem of Asset Pricing: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1219-35.
    6. Goldman, M Barry & Sosin, Howard B & Gatto, Mary Ann, 1979. "Path Dependent Options: "Buy at the Low, Sell at the High"," Journal of Finance, American Finance Association, vol. 34(5), pages 1111-27, December.
    7. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 215-240, June.
    8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    9. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    10. Philippe Artzner & David Heath, 1995. "Approximate Completeness With Multiple Martingale Measures," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 1-11.
    11. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
    12. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    13. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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