Pricing dynamic binary variables and their derivatives

DOI10.1080/14697688.2011.584893MaRDI QIDQ2873018zbMATH OpenOpenAlexFDO

Authors David G. Luenberger

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2011.584893

zbMATH Keywords

asset pricingderivative pricing modelsderivatives hedgingreal options

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Statistical methods; risk measures (91G70)

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Cites work

• A correlation pricing formula.
• Arbitrage and universal pricing.
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Option pricing: A simplified approach
• Pricing a nontradeable asset and its derivatives.
• Products of trees for investment analysis
• Projection pricing
• The pricing of options and corporate liabilities
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis

Cited in

(2)

• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• Relative pricing of binary options in live soccer betting markets

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