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Qualis Capes / BRAZIL as B3

Article Details ::
Article Name :
ASSET PRICING AND CONTINGENT CLAIMS
Author Name :
Gururaj P Chapparbandi , G Srinivasan
Publisher :
Ashok Yakkaldevi
Article Series No. :
ROR-2178
Article :
Author Profile
Abstract :
Contingent claims analysis (CCA) is the application of option-pricing theory to the valuation of assets, the future value of which depends, in turn, on the future value of other assets. Typically an investor holds and reallocates the portfolio for some purpose, for instance to transfer wealth in different states and periods to finance expenditures in different states in the future. This section starts with a simple evaluation of household optimality in a contingent claim model following the work of Duffie (2003).
Keywords :
 
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