Index
Note: Page numbers followed by “b,” “f,” and “t” refer to boxes, figures, and tables, respectively.
A
Absolute risk aversion index, 533
A–D securities, See Arrow–Debreu securities
Agency costs and capital structure, 48–49
APT, See Arbitrage pricing theory (APT)
Arbitrage bounds on value of claim, 371
Arbitrage perspective of Arrow–Debreu pricing, 323
abstract setting, 337–342
deriving term structure, 330–335
extracting from option prices example, 352b
first approximation, 343–344
forward prices and forward rates, 358–359
law of one price, 327
market completeness and complex securities, 326–330
in multiperiod setting, 352–357
recovering from option prices, 345–351
state claim, pricing, ...
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