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Part of the series Springer Finance pp Some of the highlights of the book appear in Chap. We illustrate how to apply the pricing theory to obtain the price formulas of different types of European options.

Various extensions of the Black—Scholes—Merton framework are discussed, including the transaction costs model, jump-diffusion model and stochastic volatility model. JavaScript is currently disabled , this site works much better if you enable JavaScript in your browser.

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Chapter Mathematical Models of Financial Derivatives Part of the series Springer Finance pp Black—Scholes—Merton Formulation and Martingale Pricing Theory.

Abstract Some of the highlights of the book appear in Chap.

Mathematics Subject Classification 60Hxx 62P05 90A09 91B28 91B Provided by Book metrix. Reference tools Export citation EndNote. Other actions About this Book Reprints and Permissions.

Share Share this content on Facebook Share this content on Twitter Share this content on LinkedIn. Title Option Pricing Models: Black—Scholes—Merton Formulation and Martingale Pricing Theory Book Title Mathematical Models of Financial Derivatives Pages pp Copyright DOI To view the rest of this content please follow the download PDF link above.

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