Pricing in discrete financial models

Mnacho Echenim 🌐

July 16, 2018

This is a development version of this entry. It might change over time and is not stable. Please refer to release versions for citations.

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.

License

BSD License

History

May 12, 2019
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)

Topics

Session DiscretePricing

Cite

× 
@article{DiscretePricing-AFP,
  author  = {Mnacho Echenim},
  title   = {Pricing in discrete financial models},
  journal = {Archive of Formal Proofs},
  month   = {July},
  year    = {2018},
  note    = {\url{https://isa-afp.org/entries/DiscretePricing.html},
             Formal proof development},
  ISSN    = {2150-914x},
}
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