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.
- 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.