Moawia, Alghalith (2009): Optimal option pricing and trading: a new theory.
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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 |
|---|---|
| Original Title: | Optimal option pricing and trading: a new theory |
| 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 |
| Item ID: | 25619 |
| Depositing User: | Moawia Alghalith |
| Date Deposited: | 05 Oct 2010 14:05 |
| Last Modified: | 30 Sep 2019 16:41 |
| References: | [1] Bensoussan, A. (1984). “On the theory of option pricing.” Acta Appl. Math., 2, pp 139-158. [2] Elliott, R. and P. Kopp (2005). Mathematics of financial markets. Springer, NY, USA. [3] 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. [4] Musiela, M. and T. Zariphopoulou (2004). “Indifference prices of early exercise claims.” Contemporary Mathematics, 351, pp 259-272. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/25619 |
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