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Call and Put Option Pricing with Discrete Linear Investment Strategy
Department of Mathematical Sciences, High Point University, High Point, USA
Department of Mathematics, Arlington, Texas, USA
- 1 Department of Mathematical Sciences, High Point University, High Point, USA
- 2 Department of Mathematics, Arlington, Texas, USA
Journal of Mathematical Finance·Volume 12 (2021)·Pages 84–96·Published 28 December 2021·DOI10.4236/jmf.2022.121005
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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.
KeywordsDiscrete Dynamic Investment StrategyStochastic Interest RatesVasicek ModelHull-White ModelEuropean Call OptionEuropean Put Option
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