An actuarial approach to option pricing under the physical measure and without market assumptions
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Publication:1265918
DOI10.1016/S0167-6687(98)00013-4zbMath0909.90017OpenAlexW2018031533WikidataQ126311869 ScholiaQ126311869MaRDI QIDQ1265918
Mogens Bladt, Tina Hviid Rydberg
Publication date: 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00013-4
Lévy processesoption pricingAmerican optionsfair premiumEuropean optionsbinomial modelstochastic discountingBlack and Scholes formula
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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