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 -