The information content of interest-rate option prices
Fabio Fornari, Carlo Monticelli (1998)
Journal de la société française de statistique
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Displaying similar documents to “The price of liquidity in constant leverage strategies.”
The information content of interest-rate option prices
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Nonexpansive maps and option pricing theory
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The famous Black–Sholes (BS) and Cox–Ross–Rubinstein (CRR) formulas are basic results in the modern theory of option pricing in financial mathematics. They are usually deduced by means of stochastic analysis; various generalisations of these formulas were proposed using more sophisticated stochastic models for common stocks pricing evolution. In this paper we develop systematically a deterministic approach to the option pricing that leads to a different type of generalisations of BS...
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