where Q([z.sup.t+1] |[z.sup.t] denotes the state-contingent price of a unit contingent claim
to the consumption good in aggregate state [z.sup.t (+1)] acquired in aggregate state [z.sup.t].
1988), the proper value of the $28 million contingent claim
was, arguably, not $28 million, but only $17,000.
The advantage of this approach is that it can value a contingent claim
such as loan without continuous riskless hedging.
In such an ambiguous financial market, our subject is to analyze the European contingent claim
concerning pricing and hedging.
In a risk-free arbitrage financial market, the price V(t, [X.sub.t]) of the contingent claim
[psi]([X.sub.T]) at time t based on an underlying asset X at maturity T is given by
The growth in use of dynamic programming developed by Richard Bellman (Bellman 1957) and contingent claim
(Morck 1989) in ROA application in forestry is presented.
Almost 80 per cent of 7DAYS readers say they plan to spend nothing on Valentine's Day today -- but a small contingent claim
they will fork out more than Dhs10,000 on their loved one.
Then, every such payoff ([W.sub.i]) corresponds to an i th contingent claim
, such that if state i occurs in date one, the agent gets W, but zero otherwise, where i = 1,2,...,n .
Combining (11) and (12) yields [v'.sub.A]([[??].sup.d.sub.A]) = u'([[??].sup.l.sub.A]); thus, type A obtains a contingent claim
on his interim efficiency locus.
In , Pardoux and Peng got the existence and uniqueness of solutions under some conditions which will be showed later, and because of the uniqueness of solutions, there is only one price as well as hedging portfolio so that valuation of the terminal wealth (e.g., contingent claim
) is well possessed without arbitrage.
Specifically, some state laws have significantly higher CUSO investment limits than the Federal Credit Union Act, which would cause the CUSO investment to represent a significant contingent claim
on the net worth of an undercapitalized FISCU, Leggett said.
Others in the "don't give a hoot, let us pollute" contingent claim
that cutting greenhouse gas emissions will hurt the poor, diverting from other needs in developing countries.