Back to basics: historical option pricing revisited
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Publication:4719404
DOI10.1098/rsta.1999.0414zbMath0963.91047arXivcond-mat/9808206OpenAlexW3105757505MaRDI QIDQ4719404
Jean-Philippe Bouchaud, Marc Potters
Publication date: 27 June 2001
Published in: Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/9808206
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Related Items (3)
Optimal Hedging of American Options in Discrete Time ⋮ Optimal hedging in discrete time ⋮ DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
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