An actuarial approach to option pricing under the physical measure and without market assumptions

DOI10.1016/S0167-6687(98)00013-4zbMath0909.90017OpenAlexW2018031533WikidataQ126311869 ScholiaQ126311869MaRDI QIDQ1265918

Mogens Bladt, Tina Hviid Rydberg

Publication date: 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00013-4

zbMATH Keywords

Lévy processesoption pricingAmerican optionsfair premiumEuropean optionsbinomial modelstochastic discountingBlack and Scholes formula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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