Pricing Risky Options Simply

DOI10.1142/S0219024998000023zbMath0911.90018MaRDI QIDQ4216097

Sergei I. Simdyankin, Erik Aurell

Publication date: 22 November 1998

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

zbMATH Keywords

option pricingBlack-ScholeshedingPolish optionspseudo-Markov process

Mathematics Subject Classification ID

Related Items (8)

An empirical model of volatility of returns and option pricing ⋮ RISKY OPTIONS SIMPLIFIED ⋮ OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST ⋮ LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING ⋮ An introduction to statistical finance ⋮ Elements for a theory of financial risks ⋮ An Explicit Formula for Option Pricing in Discrete Incomplete Markets ⋮ Hedged Monte-Carlo: low variance derivative pricing with objective probabilities

Cites Work

• The Pricing of Options and Corporate Liabilities
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

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