Option Pricing Incorporating Factor Dynamics in Complete Markets
Using the Donsker–Prokhorov invariance principle, we extend the Kim–Stoyanov–Rachev –Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the Cherny–Shiryaev–Yor invariance principles, we formulate a new binomi...
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-12-01
|
| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/13/12/321 |