Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets

Preprint English OPEN
Nassim N. Taleb;
(2014)
  • Subject: Quantitative Finance - Pricing of Securities | Quantitative Finance - Mathematical Finance

Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one, under any general probability... View more
  • References (1)

    Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81, 637- 654.

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