DocumentCode
2904745
Title
Theory Basis of Option Pricing Methods
Author
Ling, Li
Author_Institution
Univ. of Sci. & Technol. Beijing, Beijing, China
fYear
2011
fDate
17-18 Oct. 2011
Firstpage
418
Lastpage
420
Abstract
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.
Keywords
pricing; Bernoulli law; discounted expected earnings; expect method; hedging method; option pricing method; Economic indicators; Educational institutions; Finance; Indium tin oxide; Portfolios; Pricing; Security; Law of Large Numbers; No Arbitrage; Risk Neutral;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4577-1541-9
Type
conf
DOI
10.1109/BIFE.2011.149
Filename
6121170
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