Title :
Theory Basis of Option Pricing Methods
Author_Institution :
Univ. of Sci. & Technol. Beijing, Beijing, China
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;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4577-1541-9
DOI :
10.1109/BIFE.2011.149