Advanced Search
MyIDEAS: Login to save this article or follow this journal

An actuarial approach to option pricing under the physical measure and without market assumptions

Contents:

Author Info

  • Bladt, Mogens
  • Rydberg, Tina Hviid
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V8N-3TDH3KS-7/2/9a52991b3dfbc476973b008876889d4d
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 22 (1998)
    Issue (Month): 1 (May)
    Pages: 65-73

    as in new window
    Handle: RePEc:eee:insuma:v:22:y:1998:i:1:p:65-73

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    2. Ernst Eberlein & Jean Jacod, 1997. "On the range of options prices (*)," Finance and Stochastics, Springer, vol. 1(2), pages 131-140.
    3. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-09, March.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    5. Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Rocío Elizondo & Pablo Padilla & Mogens Bladt, 2009. "An Alternative Formula to Price American Options," Working Papers 2009-06, Banco de México.
    2. Rocío Elizondo & Pablo Padilla, 2008. "An Analytical Approach to Merton’s Rational Option Pricing Theory," Working Papers 2008-03, Banco de México.
    3. Schmitz, Norbert, 2005. "Note on option pricing by actuarial considerations," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 517-518, June.
    4. Yannis G. Yatracos, 2013. "A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role," Papers 1304.4929, arXiv.org, revised Feb 2014.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:22:y:1998:i:1:p:65-73. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.