• 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