On Hidden Problems of Option Pricing

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

Abstract

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Option Pricing, Black-Scholes-Merton Equations, Economic Space
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

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