1. Motivation and Overview -- 2. Pricing by Change of Measure and Numeraire -- 3. Comparison of Discrete and Continuous Models -- 4. Valuation of Power Options -- 5. Modeling Feedback Effects Using Stochastic Liquidity -- 6. Summary and Outlook -- A. Power Options in Stochastic Volatility Models
Notes
Originally presented as the author's thesis (Ph.D. - Goethe-University, Frankfurt am Main) titled "Pricing in (in)complete markets : structural analysis and applications," May 2003