Pricing Risky Options Simply

DOI10.1142/S0219024998000023MaRDI QIDQ4216097zbMATH OpenFDO

Authors Sergei I. Simdyankin, Erik Aurell

Publication date 22 November 1998

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024998000023

zbMATH Keywords

Black-Scholeshedingoption pricingPolish optionspseudo-Markov process

Mathematics Subject Classification ID

Recommendations

• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• RISKY OPTIONS SIMPLIFIED
• The risk of Black-Scholes option pricing
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Cites work

• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• The pricing of options and corporate liabilities

Cited in

(13)

• An empirical model of volatility of returns and option pricing
• Elements for a theory of financial risks
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Option price and market instability
• LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
• Autoregressive trending risk function and exhaustion in random asset price movement
• The risk of Black-Scholes option pricing
• RISKY OPTIONS SIMPLIFIED
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• On Minimizing Risk in Incomplete Markets Option Pricing Models
• An Explicit Formula for Option Pricing in Discrete Incomplete Markets
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• An introduction to statistical finance

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