In this paper, a formula for valuating the equilibrium price of an European call option is determined by assuming that the process underlying the returns is a complex nonlinear deterministic dynamics. In particular, this formula is obtained by solving a first order partial differential equation; it is possible to show that this ordinary differential equation and its solution can be obtained as a limit of the classic Black and Scholes stochastic approach.
Un approccio deterministico non lineare complesso alla valutazione delle opzioni finanziarie
CORAZZA, Marco
;
1994-01-01
Abstract
In this paper, a formula for valuating the equilibrium price of an European call option is determined by assuming that the process underlying the returns is a complex nonlinear deterministic dynamics. In particular, this formula is obtained by solving a first order partial differential equation; it is possible to show that this ordinary differential equation and its solution can be obtained as a limit of the classic Black and Scholes stochastic approach.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
1994-Corazza_Nardelli-Un_approccio_deterministico_non_lineare_complesso_alla_valutazione_delle_opzioni_finanziarie-RENDICONTI.pdf
accesso aperto
Descrizione: Articolo nella sua versione finale.
Tipologia:
Versione dell'editore
Licenza:
Accesso libero (no vincoli)
Dimensione
1.28 MB
Formato
Adobe PDF
|
1.28 MB | Adobe PDF | Visualizza/Apri |
I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.