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Option pricing in a tychastic market model

Pierre Bernhard 1
1 BIOCORE - Biological control of artificial ecosystems
LOV - Laboratoire d'océanographie de Villefranche, CRISAM - Inria Sophia Antipolis - Méditerranée , INRA - Institut National de la Recherche Agronomique
Abstract : We investigate the simple option pricing problem, either for Vanilla or Digital european options. As compared to the work of Saint-Pierre et al., we have a more specific theory - we are unable to extend it to exotic options - with more analytical results. In particular, we obtain a representation theorem for the Value function, both in continuous and discrete trading, yielding a fast algorithm for the discrete trading case, together with a convergence theorem of this discrete trading value toward the continuous one as the step size vanishes.
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https://hal.inria.fr/hal-00848392
Contributor : Jean-Luc Gouzé <>
Submitted on : Friday, July 26, 2013 - 10:30:00 AM
Last modification on : Friday, June 25, 2021 - 3:36:16 AM

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  • HAL Id : hal-00848392, version 1

Citation

Pierre Bernhard. Option pricing in a tychastic market model. Around Viability Boundaries, 2012, Paris, France. ⟨hal-00848392⟩

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