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How to make the transition from discrete to continuous time in option pricing

Table of Contents

Chapter 1. Financial Markets with Discrete Time1.1. General description of a market model with discrete time1.2. Arbitrage opportunities, martingale measures and martingale1.3. Contingent claims: complete and incomplete markets1.4. The Cox–Ross–Rubinstein approach to option pricing1.5. The sequence of the discrete-time markets as an intermediate1.6. American contingent claimsChapter 2. Financial Markets with Continuous Time2.1. Transition from discrete to continuous time2.2. Black–Scholes formula for the arbitrage-free price of the2.3. Arbitrage theory for the financial markets with continuous time2.4. American contingent claims in continuous time2.5. Exotic derivatives in the model with continuous time

About the Author

Yuliya Mishura is Professor and Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Ukraine. Her research interests include stochastic analysis, theory of stochastic processes, stochastic differential equations, numerical schemes, financial mathematics, risk processes, statistics of stochastic processes, and models with long-range dependence.