An actuarial approach to option pricing under the physical measure and without market assumptions
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 22 (1998)
Issue (Month): 1 (May)
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Web page: http://www.elsevier.com/locate/inca/505554
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.:
- Ernst Eberlein & Jean Jacod, 1997. "On the range of options prices (*)," Finance and Stochastics, Springer, vol. 1(2), pages 131-140.
- Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-09, March.
- 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.
- Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128.
- 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.
- Rocío Elizondo & Pablo Padilla, 2008. "An Analytical Approach to Merton’s Rational Option Pricing Theory," Working Papers 2008-03, Banco de México.
- 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.
- Rocío Elizondo & Pablo Padilla & Mogens Bladt, 2009. "An Alternative Formula to Price American Options," Working Papers 2009-06, Banco de México.
- Schmitz, Norbert, 2005. "Note on option pricing by actuarial considerations," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 517-518, June.
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