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Market Models

Buyers have the choice of taking the prices presented by the seller. The price in the future is not known, but it can be modeled by a set, Omega. The simplest case is where Omega is simply the set of possible prices. More sophisticated models can incorporate information about other instruments or market fundamentals.

A market model is a function X:T x A x I x C x I x C -> B(Omega), where B(Omega) are the functions on Omega that are bounded. X(t; a, i, c; i', c') is the price at which the seller is willing to do the transaction (t; a, i, c; -aX, i', c').

Last edited Jul 8, 2011 at 2:29 AM by keithalewis, version 1