Statistically fair price for the European call options according to the discreet mean/variance model
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizing the variance hedging risk of the portfolio on the date of maturity of the call option we find a f...
| Main Authors: | , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Institute of Computer Science
2014-10-01
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| Series: | Компьютерные исследования и моделирование |
| Subjects: | |
| Online Access: | http://crm.ics.org.ru/uploads/crmissues/crm_2014_5/14515.pdf |