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Back To Basics - Historical Option Pricing Revisited - دانشکده آموزش فارکس
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Back To Basics – Historical Option Pricing Revisited

Back To Basics – Historical Option Pricing Revisited
Back To Basics – Historical Option Pricing Revisited

Back To Basics – Historical Option Pricing Revisited We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments are uncorrelated (but not necessarily independent) and of arbitrary probability density. We discuss in particular […]

Back To Basics - Historical Option Pricing Revisited

Back To Basics - Historical Option Pricing Revisited

Back To Basics - Historical Option Pricing Revisited

We reconsider the problem of option pricing

using historical probability distributions.

We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments are uncorrelated (but not necessarily independent) and of arbitrary probability density.

We discuss in particular how, in the Gaussian limit, the Black-Scholes results are recovered, including the fact that the average return of the underlying stock disappears from the price (and the hedging strategy).

We compare this theory to real option prices and find these

reflect in a surprisingly accurate way the subtle statistical features of the underlying asset fluctuations.eptionally laborious..

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  • عنوان مقاله : Back To Basics - Historical Option Pricing Revisited
  • نوع فایل : PDF
  • حجم فایل : 182 کیلوبایت

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