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.
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