smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2002SMQ / 157310222587345
On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model
Jensen, Bjarne Astrup
mathematical financeResource overview

On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model

Paper2002

by Jensen, Bjarne Astrup

Tags
mathematical finance

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6