Munich Personal RePEc Archive

On Hidden Problems of Option Pricing

Olkhov, Victor (2016): On Hidden Problems of Option Pricing.

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This paper gives new look on option pricing and Black-Scholes-Merton equation within economic space point of view. We argue reasons for economic space definition and it’s application for options pricing. Our approach allows review classical Black-Sholes-Merton model and discovers hidden complexity of option pricing. We derive Black-Sholes-Merton equation on n-dimensional economic space and argue new tough problems.

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