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Title: Nonexpansive maps and option pricing theory (English)
Author: Kolokoltsov, Vassili N.
Language: English
Journal: Kybernetika
ISSN: 0023-5954
Volume: 34
Issue: 6
Year: 1998
Pages: [713]-724
Summary lang: English
Category: math
Summary: The famous Black–Sholes (BS) and Cox–Ross–Rubinstein (CRR) formulas are basic results in the modern theory of option pricing in financial mathematics. They are usually deduced by means of stochastic analysis; various generalisations of these formulas were proposed using more sophisticated stochastic models for common stocks pricing evolution. In this paper we develop systematically a deterministic approach to the option pricing that leads to a different type of generalisations of BS and CRR formulas characterised by more rough assumptions on common stocks evolution (which are therefore easier to verify). On the other hand, this approach is more elementary, because it uses neither martingales nor stochastic equations. (English)
Keyword: option pricing
Keyword: stocks pricing evolution
Keyword: Black-Scholes formula
MSC: 91B24
MSC: 91B28
MSC: 91B42
MSC: 91G20
idZBL: Zbl 1274.91420
idMR: MR1695373
Date available: 2009-09-24T19:22:02Z
Last updated: 2015-03-28
Stable URL:
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Reference: [4] Kolokoltsov V. N.: A Formula for Option Prices on a Market with Unknown Volatility.Research Report No. 9/96, Dep. Math. Stat. and O. R., Nottingham Trent University 1996
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