The Simple Analytics of Arbitrage

Arbitrage theory becomes particularly transparent if a finite discrete framework is taken as basis. The simple structure and mathematical background are shown and connections to other topics such as production theory are pointed out. Arbitrage techniques are applied to construct free lunches, to determine issue prices, and to derive the classical one-period call-price formula.

[1]  Mark Rubinstein,et al.  The Valuation of Uncertain Income Streams and the Pricing of Options , 1976 .

[2]  G. Debreu,et al.  Theory of Value , 1959 .

[3]  S. Ross.  The arbitrage theory of capital asset pricing , 1976 .

[4]  S. Ross,et al.  An Empirical Investigation of the Arbitrage Pricing Theory , 1980 .

[5]  Kenneth J. Arrow,et al.  General Economic Equilibrium: Purpose, Analytic Techniques, Collective Choice , 1972 .

[6]  R. Geske,et al.  THE PRICING OF OPTIONS WITH STOCHASTIC DIVIDEND YIELD , 1978 .

[7]  E. Elton.  Modern portfolio theory and investment analysis , 1981 .

[8]  S. Ross.  A Simple Approach to the Valuation of Risky Streams , 1978 .

[9]  Joshua Krausz,et al.  Option pricing : theory and applications , 1984 .

[10]  Douglas T. Breeden,et al.  Prices of State-Contingent Claims Implicit in Option Prices , 1978 .

[11]  Robert C. Merton,et al.  On the pricing of contingent claims and the Modigliani-Miller theorem , 1977 .

[12]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[13]  T. Kuhn,et al.  The Structure of Scientific Revolutions. , 1964 .

[14]  K. Arrow.  The Role of Securities in the Optimal Allocation of Risk-bearing , 1964 .

[15]  Stephen A. Ross,et al.  A Survey of Some New Results in Financial Option Pricing Theory , 1976 .

[16]  David M. Kreps,et al.  Martingales and arbitrage in multiperiod securities markets , 1979 .

[17]  F. Knight.  The economic nature of the firm: From Risk, Uncertainty, and Profit , 2009 .

[18]  M. David.  HARRISON, J. Michael, and KREPS, . Martingales and Arbitrage in Multiperiod Securities Markets, Journal of Economic Theory, , . , 1979 .

[19]  Jacques H. Dreze,et al.  Market allocation under uncertainty , 1970 .

[20]  Richard J. Rendleman,et al.  Two-State Option Pricing , 1979 .

[21]  Chi-Cheng Hsia.  ON BINOMIAL OPTION PRICING , 1983 .

[22]  Mark Rubinstein,et al.  Securities Market Efficiency in an Arrow-Debre Economy , 1973 .

[23]  M. Shubik,et al.  Convex structures and economic theory , 1968 .

[24]  Clifford W. Smith,et al.  Option pricing: A review , 1976 .

[25]  S. Ross,et al.  Option pricing: A simplified approach☆ , 1979 .

[26]  Gur Huberman,et al.  A simple approach to arbitrage pricing theory , 1982 .

[27]  Michael J. Brennan,et al.  The Pricing of Contingent Claims in Discrete Time Models , 1979 .

[28]  Sigrid Müller,et al.  Arbitrage Pricing of Contingent Claims , 1985 .