An Explicit Formula for Option Pricing in Discrete Incomplete Markets

DOI10.1142/S0219024998000151zbMath0909.90034MaRDI QIDQ4216115

Grazyna Wolczynska

Publication date: 28 December 1998

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

zbMATH Keywords

pricing of European call option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

RISKY OPTIONS SIMPLIFIED ⋮ A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS ⋮ OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST ⋮ A time-series approach to non-self-financing hedging in a discrete-time incomplete market ⋮ An introduction to statistical finance ⋮ An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market ⋮ Elements for a theory of financial risks

Cites Work

• Approximating random variables by stochastic integrals
• Pricing Risky Options Simply
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• On Quadratic Cost Criteria for Option Hedging

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