Standard
Option pricing : Classic results. / Bernhard, Pierre; Engwerda, Jacob C.; Roorda, Berend; Schumacher, J. M.; Kolokoltsov, Vassili; Saint-Pierre, Patrick; Aubin, Jean Pierre.
Static and Dynamic Game Theory: Foundations and Applications. 9780817683870. ed. Birkhäuser Verlag AG, 2013. p. 17-26 (Static and Dynamic Game Theory: Foundations and Applications; No. 9780817683870).
Research output: Chapter in Book/Report/Conference proceeding › Chapter › Research › peer-review
Harvard
Bernhard, P, Engwerda, JC, Roorda, B, Schumacher, JM
, Kolokoltsov, V, Saint-Pierre, P & Aubin, JP 2013,
Option pricing: Classic results. in
Static and Dynamic Game Theory: Foundations and Applications. 9780817683870 edn, Static and Dynamic Game Theory: Foundations and Applications, no. 9780817683870, Birkhäuser Verlag AG, pp. 17-26.
https://doi.org/10.1007/978-0-8176-8388-7_2APA
Bernhard, P., Engwerda, J. C., Roorda, B., Schumacher, J. M.
, Kolokoltsov, V., Saint-Pierre, P., & Aubin, J. P. (2013).
Option pricing: Classic results. In
Static and Dynamic Game Theory: Foundations and Applications (9780817683870 ed., pp. 17-26). (Static and Dynamic Game Theory: Foundations and Applications; No. 9780817683870). Birkhäuser Verlag AG.
https://doi.org/10.1007/978-0-8176-8388-7_2Vancouver
Author
Bernhard, Pierre ; Engwerda, Jacob C. ; Roorda, Berend ; Schumacher, J. M.
; Kolokoltsov, Vassili ; Saint-Pierre, Patrick ; Aubin, Jean Pierre. /
Option pricing : Classic results. Static and Dynamic Game Theory: Foundations and Applications. 9780817683870. ed. Birkhäuser Verlag AG, 2013. pp. 17-26 (Static and Dynamic Game Theory: Foundations and Applications; 9780817683870).
BibTeX
@inbook{2a944e3d006c431ebdb62d6726a610bb,
title = "Option pricing: Classic results",
abstract = "We recall here the basics of the most classic result of option pricing, perhaps the most famous result in mathematical finance: the Black–Scholes theory for the pricing of “European options” in a perfect market, infinitely divisible and liquid, with no “friction” such as transaction costs or information lag. However, in keeping with the spirit of this volume, we derive it via a game-theoretic approach, devoid of any probabilities.",
keywords = "Black and Scholes, Quadratic variation",
author = "Pierre Bernhard and Engwerda, {Jacob C.} and Berend Roorda and Schumacher, {J. M.} and Vassili Kolokoltsov and Patrick Saint-Pierre and Aubin, {Jean Pierre}",
year = "2013",
month = jan,
day = "1",
doi = "10.1007/978-0-8176-8388-7_2",
language = "English",
series = "Static and Dynamic Game Theory: Foundations and Applications",
publisher = "Birkh{\"a}user Verlag AG",
number = "9780817683870",
pages = "17--26",
booktitle = "Static and Dynamic Game Theory",
address = "Switzerland",
edition = "9780817683870",
}
RIS
TY - CHAP
T1 - Option pricing
T2 - Classic results
AU - Bernhard, Pierre
AU - Engwerda, Jacob C.
AU - Roorda, Berend
AU - Schumacher, J. M.
AU - Kolokoltsov, Vassili
AU - Saint-Pierre, Patrick
AU - Aubin, Jean Pierre
PY - 2013/1/1
Y1 - 2013/1/1
N2 - We recall here the basics of the most classic result of option pricing, perhaps the most famous result in mathematical finance: the Black–Scholes theory for the pricing of “European options” in a perfect market, infinitely divisible and liquid, with no “friction” such as transaction costs or information lag. However, in keeping with the spirit of this volume, we derive it via a game-theoretic approach, devoid of any probabilities.
AB - We recall here the basics of the most classic result of option pricing, perhaps the most famous result in mathematical finance: the Black–Scholes theory for the pricing of “European options” in a perfect market, infinitely divisible and liquid, with no “friction” such as transaction costs or information lag. However, in keeping with the spirit of this volume, we derive it via a game-theoretic approach, devoid of any probabilities.
KW - Black and Scholes
KW - Quadratic variation
UR - http://www.scopus.com/inward/record.url?scp=85057574275&partnerID=8YFLogxK
U2 - 10.1007/978-0-8176-8388-7_2
DO - 10.1007/978-0-8176-8388-7_2
M3 - Chapter
AN - SCOPUS:85057574275
T3 - Static and Dynamic Game Theory: Foundations and Applications
SP - 17
EP - 26
BT - Static and Dynamic Game Theory
PB - Birkhäuser Verlag AG
ER -
