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


  • Bladt, Mogens
  • Rydberg, Tina Hviid


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  • Bladt, Mogens & Rydberg, Tina Hviid, 1998. "An actuarial approach to option pricing under the physical measure and without market assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 65-73, May.
  • Handle: RePEc:eee:insuma:v:22:y:1998:i:1:p:65-73

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    References listed on IDEAS

    1. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-209, March.
    2. Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128, June.
    3. 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 637-654, May-June.
    4. Ernst Eberlein & Jean Jacod, 1997. "On the range of options prices (*)," Finance and Stochastics, Springer, vol. 1(2), pages 131-140.
    5. 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.
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    Cited by:

    1. Rocío Elizondo & Pablo Padilla, 2008. "An Analytical Approach to Merton’s Rational Option Pricing Theory," Working Papers 2008-03, Banco de México.
    2. Rocío Elizondo & Pablo Padilla & Mogens Bladt, 2009. "An Alternative Formula to Price American Options," Working Papers 2009-06, Banco de México.
    3. 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,, revised Nov 2014.
    4. 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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