Option pricing based on the concept of insurance: market models-Free methods that give as special case the black –Scholes option pricing

Τιμολόγηση των Options βασισμένη στη έννοια της ασφάλισης. Μέθοδος ανεξάρτητη μοντέλου αγοράς που δίνει σαν ειδική περίπτωση την τιμολόγηση των Options κατά Black-Scholes

Main Author: Konstantinos Kyritsis
Other Authors: Nikos Andoniadis
Format: Journal article
Language: English
Published: Review of Economic Sciences, TEI of Epirus. 2008
Online Access: http://cris.teiep.gr/jspui/handle/123456789/1333
Physical Description: 12
ISSN: 1109-2629
Abstract: Abstract In this paper, alternative methods to the Black-Scholes method of option pricing are given, yielding the latter as special case. The alternative methods are similar to the methods of insurance policies pricing in actuarial mathematics. The choice of the model that represents the changes of the price of the underlying exchange market is left open. Numerical examples are given and the proposed method is compared to the traditional Black-Scholes method. The resulting advantages are discussed.