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 25619.
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
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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