arXiv Open Access 2021

Call and Put Option Pricing with Discrete Linear Investment Strategy

Niloofar Ghorbani Andrzej Korzeniowski

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Abstrak

We study the Option pricing with linear investment strategy based on discrete time trading of the underlying security, which unlike the existing continuous trading models provides a feasible real market implementation. Closed form formulas for Call and Put Option price are established for fixed interest rates and their extensions to stochastic Vasicek and Hull-White interest rates.

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Penulis (2)

Niloofar Ghorbani

Andrzej Korzeniowski

Format Sitasi

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Ghorbani, N., Korzeniowski, A. (2021). Call and Put Option Pricing with Discrete Linear Investment Strategy. https://arxiv.org/abs/2110.04676

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Informasi Jurnal

Tahun Terbit: 2021
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓