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.
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Topics

Theories of DiscretePricing

Cite

× 
@article{DiscretePricing-AFP,
  author  = {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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