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arXiv · 2110.04676

Call and Put Option Pricing with Discrete Linear Investment Strategy

Niloofar Ghorbani·Andrzej Korzeniowski
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Abstract

We study the Option pricing with linear investment strategy based on discrete time trading of the underlying security, which unlike the existing continuous trading models provides a feasible real market implementation. Closed form formulas for Call and Put Option price are established for fixed interest rates and their extensions to stochastic Vasicek and Hull-White interest rates.

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Niloofar Ghorbani, Andrzej Korzeniowski. 2021-10-10. Call and Put Option Pricing with Discrete Linear Investment Strategy. https://doi.org/10.4236/jmf.2022.121005

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