Price as a matter of choice and nonstochastic randomness - Quantitative Finance > Pricing of SecuritiesReportar como inadecuado




Price as a matter of choice and nonstochastic randomness - Quantitative Finance > Pricing of Securities - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

Abstract: A version of indifference valuation of a European call option is proposedthat includes statistical regularities of nonstochastic randomness. Classicalrelations forward contract value and Black-Scholes formula are obtained asparticular cases. We show that in the general case of nonstochastic randomnessthe minimal expected profit of uncovered European option position is alwaysnegative. A version of delta hedge is proposed.



Autor: Yaroslav Ivanenko

Fuente: https://arxiv.org/







Documentos relacionados