- Tytuł:
- Option pricing formulas under a change of numeraire
- Autorzy:
-
Attalienti, Antonio
Bufalo, Michele - Powiązania:
- https://bibliotekanauki.pl/articles/254885.pdf
- Data publikacji:
- 2020
- Wydawca:
- Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
- Tematy:
-
Black-Scholes formula
binomial model
martingale measures
numeraire - Opis:
- We present some formulations of the Cox-Ross-Rubinstein and Black-Scholes formulas for European options obtained through a suitable change of measure, which corresponds to a change of numeraire for the underlying price process. Among other consequences, a closed formula for the price of an European call option at each node of the multi-period binomial tree is achieved, too. Some of the results contained herein, though comparable with analogous ones appearing elsewhere in the financial literature, provide however a supplementary widening and deepening in view of useful applications in the more challenging framework of incomplete markets. This last issue, having the present paper as a preparatory material, will be treated extensively in a forthcoming paper.
- Źródło:
-
Opuscula Mathematica; 2020, 40, 4; 451-473
1232-9274
2300-6919 - Pojawia się w:
- Opuscula Mathematica
- Dostawca treści:
- Biblioteka Nauki
Artykuł