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  • 标题:Option Pricing: Five Notes
  • 本地全文:下载
  • 作者:Hamed Habibi ; Hamed Habibi ; Reza Habibi
  • 期刊名称:Communications in Mathematical Finance
  • 印刷版ISSN:2241-1968
  • 电子版ISSN:2241-195X
  • 出版年度:2016
  • 卷号:5
  • 期号:1
  • 语种:English
  • 出版社:Scienpress Ltd
  • 摘要:In this paper, five notes about the option pricing are presented. The first note is concerned about application of downside-delta hedging to the binomial tree. In the second note, the delta-gamma neutral portfolio involving a derivative is considered. The third note considers the dynamic hedging cases. A differential equation based relation is derived between the dynamic and static deltas. The fourth note search for the best simple derivative for hedging another complex derivative. In the last note, an approximated formulae is given for the price of a derivative which its payoff function is twice differentiable.
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