AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY

The paradox of the Stop-Loss-Start-Gain trading strategy is resolved by showing that along the hyperfinite timeline the strategy incurs infinitesimal losses summing up to a non-infinitesimal amount. As a consequence, the Black–Scholes formula is derived using only hyperreal arithmetic and Riemann sum, probably the most elementary derivation thus far.

MoreLess

Year of publication:	2005
Authors:	NG, SIU-AH
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 05, p. 623-633
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Nonstandard analysis \| infinitesimal \| hyperreal \| stop-loss-start-gain \| Black–Scholes \| asset pricing

More details

Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005050511