Theory Basis of Option Pricing Methods

摘要：

Option pricing is quantitative of power in an uncertain environment and the discounted expected earnings. Option Pricing for the uncertainty lies in the measurement, how to quantify uncertain events, There is two important methods: the expect methods and hedging method, both the theoretical basis is the Bernoulli law of large numbers. This paper proves the equivalence of the two methods, then the situation in respect of discrete and continuous cases are described.

关键词： Risk Neutral No Arbitrage Law of Large Numbers

作者: Li Ling

作者单位: University of Science and Technology Beijing, Beijing, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 418-420

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）