Abstract
In this chapter, we consider the problem of pricing an option in discrete time trading. We will introduce and discuss various important notions from stochastic finance, such as investment strategy, arbitrage opportunity, complete markets, and the role of equivalent martingale measures in discrete time. We assume a discrete model for the underlying stock.
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© 2000 Springer Science+Business Media New York
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Kallianpur, G., Karandikar, R.L. (2000). Option Pricing in Discrete Time. In: Introduction to Option Pricing Theory. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0511-1_6
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DOI: https://doi.org/10.1007/978-1-4612-0511-1_6
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-1-4612-6796-6
Online ISBN: 978-1-4612-0511-1
eBook Packages: Springer Book Archive