Optimal option pricing and trading: a new theory

Moawia, Alghalith (2009): Optimal option pricing and trading: a new theory.

Abstract

We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.

• Item Type: MPRA Paper
• Language: English
• Keywords: option, derivative, asset, stochastic
• Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions

References

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