Optimal option pricing and trading: a new theory
AbstractWe introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19317.
Date of creation: 14 Dec 2009
Date of revision:
option; derivative; asset; stochastic;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
- NEP-CFN-2009-12-19 (Corporate Finance)
- NEP-FMK-2009-12-19 (Financial Markets)
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