On the option pricing for a generalization of the binomial model

被引：0
|
作者：
Kascheev D.E. [1 ]
机构：
[1] Tver State University, Tver
来源：
Journal of Mathematical Sciences | 2000年 / 99卷 / 3期
关键词：
Stock Price; Option Price; Stock Prex; Expiration Date; Hedging Strategy;
D O I：
10.1007/BF02674086
中图分类号：
学科分类号：
摘要：
In the paper, we give an elementary proof of the fact that the option pricing within the model in which variation in stock prices belongs to a limited range is reduced to a similar problem in the binomial model. We also find a hedging strategy. The result obtained allows us to calculate the option price for the market with random number of variations in stock prices. The proof is given for the homogeneous model. The proof for the heterogeneous model is similar. Further, we consider the European call option. © 2000 Kluwer Academic/Plenum Publishers.
引用
收藏
页码：1267 / 1272
页数：5
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