On the theory of option pricing

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)139-158
Journal / PublicationActa Applicandae Mathematicae
Volume2
Issue number2
Publication statusPublished - Jun 1984
Externally publishedYes

Abstract

The objective of this article is to provide an axiomatic framework in order to define the concept of value function for risky operations for which there is no market. There is a market for assets, whose prices are characterized as stochastic processes. The method consists of constructing a portfolio of these assets which will mimic the risks involved in the operation. We follow the terminology of the theory of options although the set-up goes beyond that particular problem. © 1984 D. Reidel Publishing Company.

Research Area(s)

  • AMS (MOS) subject classifications (1980): 00A69, 60G, 90A, complete markets, contingent claim, European and American claims, hedging portfolio, optimal stopping, option pricing, Stochastic control

Citation Format(s)

On the theory of option pricing. / Bensoussan, A.

In: Acta Applicandae Mathematicae, Vol. 2, No. 2, 06.1984, p. 139-158.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review