Option pricing in a tychastic market model

Pierre Bernhard 1
1 BIOCORE - Biological control of artificial ecosystems
INRA - Institut National de la Recherche Agronomique, CRISAM - Inria Sophia Antipolis - Méditerranée , LOV - Laboratoire d'océanographie de Villefranche
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.
Type de document :
Communication dans un congrès
Around Viability Boundaries, 2012, Paris, France. 2012
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https://hal.inria.fr/hal-00848392
Contributeur : Jean-Luc Gouzé <>
Soumis le : vendredi 26 juillet 2013 - 10:30:00
Dernière modification le : dimanche 9 décembre 2018 - 01:26:19

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  • HAL Id : hal-00848392, version 1

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

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