From binomial expectations to the Black-Scholes formula: the main ideas
I. P. van den Berg, F. Koudjeti (1997)
Annales mathématiques Blaise Pascal
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Displaying similar documents to “Nonexpansive maps and option pricing theory”
From binomial expectations to the Black-Scholes formula: the main ideas
Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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A time-series approach to non-self-financing hedging in a discrete-time incomplete market.
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile.
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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Computational exploration of the biological basis of Black-Scholes expected utility function.
Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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The price of liquidity in constant leverage strategies.
Marcos Escobar, Andreas Kiechle, Luis Seco, Rudi Zagst (2009)
RACSAM
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Integral price formulas for lookback options.
Xu, Chenglong, Kwok, Yue Kuen (2005)
Journal of Applied Mathematics
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An American convert close to maturity.
Alobaidi, G, Mallier, R. (2009)
Acta Mathematica Universitatis Comenianae. New Series
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Dynamic Stochastic Accumulation Model With Application to Pension Savings Management
Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
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Information, inflation, and interest
Lane P. Hughston, Andrea Macrina (2008)
Banach Center Publications
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We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing...