Alghalith, Moawia (2009): Optimal option pricing and trading: a new theory.
This is the latest version of this item.
Download (89kB) | Preview
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|
|Original Title:||Optimal option pricing and trading: a new theory|
|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
|Depositing User:||Moawia Alghalith|
|Date Deposited:||09. Apr 2010 11:54|
|Last Modified:||19. Feb 2013 04:55|
 Bensoussan, A. (1984). “On the theory of option pricing.” Acta Appl. Math., 2, pp 139-158.
 Elliott, R. and P. Kopp (2005). Mathematics of financial markets. Springer, NY, USA.
 Musiela, M. and T. Zariphopoulou (2007). “Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model.” in Advances inMathematical Finance, Birkhauser, Boston, pp 303-334.
 Musiela, M. and T. Zariphopoulou (2004). “Indifference prices of early exercise claims.” Contemporary Mathematics, 351, pp 259-272.
Available Versions of this Item
Optimal option pricing and trading: a new theory. (deposited 16. Dec 2009 05:44)
- Optimal option pricing and trading: a new theory. (deposited 09. Apr 2010 11:54) [Currently Displayed]