Option pricing: Classic results

Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean Pierre Aubin

Research outputpeer-review


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.

Original languageEnglish
Title of host publicationStatic and Dynamic Game Theory
Subtitle of host publicationFoundations and Applications
PublisherBirkhäuser Verlag AG
Number of pages10
Publication statusPublished - 1 Jan 2013

Publication series

NameStatic and Dynamic Game Theory: Foundations and Applications
ISSN (Print)2363-8516
ISSN (Electronic)2363-8524


Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Cite this

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_2