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.
BSD LicenseTopics
Theories of DiscretePricing
- Generated_Subalgebra
- Filtration
- Martingale
- Disc_Cond_Expect
- Infinite_Coin_Toss_Space
- Geometric_Random_Walk
- Fair_Price
- CRR_Model
- Option_Price_Examples