An actuarial approach to option pricing under the physical measure and without market assumptions

Insurance: Mathematics and Economics

Volumn 22, Issue 1, 1998, Pages 65-73

  Bladt, Mogens ^a   Rydberg, Tina Hviid ^b  

^a Ciudad Universitaria   (Mexico)

^b AARHUS UNIVERSITY   (Denmark)

Author keywords

American options; Binomial model; Black and Scholes formula; European options; Fair premium; L vy processes; Stochastic discounting

Indexed keywords

EID: 0032523515     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(98)00013-4     Document Type: Article

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