Theory of Rational Option Pricing
نویسنده
چکیده
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Accepting the classic Black-Scholes model for a financial market consisting of a riskless bank account (Bt)0 t T and a risky stock (St)0 t T , and considering the problem of pricing an option of American type associated with the reward process f = (ft)0 t T , we address and discuss the question of the option risk. Motivated by the basic facts of the option pricing theory in complete markets rev...
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