Add to ORKGThis paper covers the valuation, from beginning to implementation, of a European call option on a stock using the multi-step binomial model in a risk-neutral world. The aim is to introduce this model in a simple but rather unconventional way. The usual presentation of the risk-neutral valuation, see Hull (2009),among others, relies on replicating portfolios. For most practitioners, this technique looks rather mysterious. We present a new transparent analysis requiring no replicating portfolios. The new finding to understand why the risk-neutral pricing is consistent with investors being risk-averse is the notion of a convex combination.investments, stock, Black-Scholes, volatility
The aim of this paper is to price an American option in a multiperiod binomial model,when there is u...
The central premise of the Black and Scholes (1973) and Merton (1973) option pricing theory is that ...
We propose a novel non-structural method for hedging European options, relying on two model-independ...
This paper covers the valuation, from beginning to implementation, of a European call option on a st...
Abstract—Proof that under simple assumptions, such as con-straints of Put-Call Parity, the probabili...
In this work we will get familiarized with a discrete valuation of options. A power- ful and widely ...
The Black-Scholes model is based on a one-parameter pricing kernel with constant elasticity. Theoret...
This paper summarizes a program of research we have conducted over the past four years. So far, it h...
The discounted stock price under the Constant Elasticity of Variance model is not a martingale when ...
The central premise of the Black and Scholes (1973) and Merton (1973) option pricing theory is that ...
The central premise of the Black and Scholes (1973) and Merton (1973) option pricing theory is that ...
The aim of this paper is the pricing of European options in a multiperiod binomial model characteris...
Siegfried Trautmann, Marti Subrahmanyam and the referees of this journal for helpful comments. Two-D...
AbstractThe aim of this paper is to price an American option in a multiperiod binomial model, when t...
This paper summarizes a program of research we have conducted over the past four years. So far, it h...
The aim of this paper is to price an American option in a multiperiod binomial model,when there is u...
The central premise of the Black and Scholes (1973) and Merton (1973) option pricing theory is that ...
We propose a novel non-structural method for hedging European options, relying on two model-independ...
This paper covers the valuation, from beginning to implementation, of a European call option on a st...
Abstract—Proof that under simple assumptions, such as con-straints of Put-Call Parity, the probabili...
In this work we will get familiarized with a discrete valuation of options. A power- ful and widely ...
The Black-Scholes model is based on a one-parameter pricing kernel with constant elasticity. Theoret...
This paper summarizes a program of research we have conducted over the past four years. So far, it h...
The discounted stock price under the Constant Elasticity of Variance model is not a martingale when ...
The central premise of the Black and Scholes (1973) and Merton (1973) option pricing theory is that ...
The central premise of the Black and Scholes (1973) and Merton (1973) option pricing theory is that ...
The aim of this paper is the pricing of European options in a multiperiod binomial model characteris...
Siegfried Trautmann, Marti Subrahmanyam and the referees of this journal for helpful comments. Two-D...
AbstractThe aim of this paper is to price an American option in a multiperiod binomial model, when t...
This paper summarizes a program of research we have conducted over the past four years. So far, it h...
The aim of this paper is to price an American option in a multiperiod binomial model,when there is u...
The central premise of the Black and Scholes (1973) and Merton (1973) option pricing theory is that ...
We propose a novel non-structural method for hedging European options, relying on two model-independ...