Option pricing in incomplete discrete markets
Author:
Grazyna Wolczynska
DOI:
10.1080/135048698334628
Publication Frequency:
6 issues per year
Number of References: 4
Formats available:
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(English)
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Abstract
Various methods of option pricing in discrete time models are discussed. The classical risk minimization method often results in negative prices and a natural modification is proposed. Another method of risk minimization using an inductive procedure as in the Cox-Ross-Rubinstein model is also proposed. The definition of the risk interpreted as the maximum of possible loss is discussed.
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| Keywords: Incomplete Markets; Derivative Securities |
| view references (4) |

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