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Pricing Derivatives under the Wilkie Model

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  • Kemp, M.H.D.

Abstract

This paper describes how to calculate approximate prices of options if investment markets are being modelled according to the Wilkie investment model.

Suggested Citation

  • Kemp, M.H.D., 2000. "Pricing Derivatives under the Wilkie Model," British Actuarial Journal, Cambridge University Press, vol. 6(3), pages 621-635, October.
    • Handle: RePEc:cup:bracjl:v:6:y:2000:i:03:p:621-635_00
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    Cited by:

    1. Karina I. Mazzitello & Julián Candia & Víctor Dossetti, 2007. "Effects Of Mass Media And Cultural Drift In A Model For Social Influence," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 18(09), pages 1475-1482.
    2. Daniel T. Seaton & Stefan Schnabel & Michael Bachmann & David P. Landau, 2012. "Effects Of Stiffness On Short, Semiflexible Homopolymer Chains," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 23(08), pages 1-7.
    3. AREZKY H. RODRÍGUEZ & M. del CASTILLO-MUSSOT & G. J. VÁZQUEZ, 2009. "Induced Monoculture In Axelrod Model With Clever Mass Media," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1233-1245.

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