Optimal option pricing and trading: a new theory

We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.

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Year of publication:	2009-12-14
Authors:	Moawia, Alghalith
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	option \| derivative \| asset \| stochastic

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G12 - Asset Pricing ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008633352