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Conference Papers Year : 2012

Option pricing in a tychastic market model

Abstract

We investigate the simple option pricing problem, either for Vanilla or Digital european options. As compared to the work of Saint-Pierre et al., we have a more specific theory - we are unable to extend it to exotic options - with more analytical results. In particular, we obtain a representation theorem for the Value function, both in continuous and discrete trading, yielding a fast algorithm for the discrete trading case, together with a convergence theorem of this discrete trading value toward the continuous one as the step size vanishes.
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Dates and versions

hal-00848392 , version 1 (26-07-2013)

Identifiers

  • HAL Id : hal-00848392 , version 1

Cite

Pierre Bernhard. Option pricing in a tychastic market model. Around Viability Boundaries, 2012, Paris, France. ⟨hal-00848392⟩
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