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  • 标题:Call and Put Option Pricing with Discrete Linear Investment Strategy
  • 本地全文:下载
  • 作者:Niloofar Ghorbani ; Andrzej Korzeniowski
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2022
  • 卷号:12
  • 期号:1
  • 页码:84-96
  • DOI:10.4236/jmf.2022.121005
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要: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.
  • 关键词:Discrete Dynamic Investment StrategyStochastic Interest RatesVasicek ModelHull-White ModelEuropean Call OptionEuropean Put Option
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