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Pricing in discrete financial models
| Title: | Pricing in discrete financial models |
| Author: | Mnacho Echenim |
| Submission date: | 2018-07-16 |
| Abstract: | We have formalized the computation of fair prices for derivative products in discrete financial models. As an application, we derive a way to compute fair prices of derivative products in the Cox-Ross-Rubinstein model of a financial market, thus completing the work that was presented in this paper. |
| Change history: | [2019-05-12]:
Renamed discr_mkt predicate to stk_strict_subs and got rid of predicate A for a more natural definition of the type discrete_market;
renamed basic quantity processes for coherent notation;
renamed value_process into val_process and closing_value_process to cls_val_process;
relaxed hypothesis of lemma CRR_market_fair_price.
Added functions to price some basic options.
(revision 0b813a1a833f) |
| BibTeX: |
@article{DiscretePricing-AFP,
author = {Mnacho Echenim},
title = {Pricing in discrete financial models},
journal = {Archive of Formal Proofs},
month = jul,
year = 2018,
note = {\url{http://isa-afp.org/entries/DiscretePricing.html},
Formal proof development},
ISSN = {2150-914x},
}
|
| License: | BSD License |
| Status: [skipped] | This is a development version of this entry. It might change over time and is not stable. Please refer to release versions for citations. |
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