Call and Put Option Pricing with Discrete Linear Investment Strategy
نویسندگان
چکیده
We study the Option pricing with linear investment strategy based on discrete time trading of underlying security, which unlike existing continuous models provides a feasible real market implementation. Closed form formulas for Call and Put price are established fixed interest rates their extensions to stochastic Vasicek Hull-White rates.
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2022
ISSN: ['2162-2434', '2162-2442']
DOI: https://doi.org/10.4236/jmf.2022.121005