A Nonstandard Approach to Option Pricing

DOI10.1111/J.1467-9965.1991.TB00017.XMaRDI QIDQ4345916zbMATH OpenOpenAlexFDO

Authors Nigel J. Cutland, P. Ekkehard Kopp, Walter Willinger

Publication date 31 August 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1991.tb00017.x

zbMATH Keywords

option pricinggeometric Brownian motionstochastic analysisnonstandard analysisnonstandard probability theoryhyperfinite geometric random walk

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

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Cited in

(17)

• Elementary stochastic calculus for finance with infinitesimals
• A Nonstandard Approach to Option Pricing
• Noncommutative valuation of options
• Loeb measures in practice: Recent advances. EMS lectures 1997
• A nonstandard treatment of options driven by poisson processes
• Reasoning about negligibility and proximity in the set of all hyperreals
• Valuation of an option using non-parametric methods
• MARGIN TRADING THROUGH HYPER TIMELINE
• Binomial valuation of lookback options
• scientific article; zbMATH DE number 1542137 (Why is no real title available?)
• Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹
• A theory of non‐Gaussian option pricing
• Nonexpansive maps and option pricing theory
• First steps towards an equilibrium theory for Lévy financial markets
• AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY
• Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
• From binomial expectations to the Black-Scholes formula: The main ideas

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