Option pricing: Classic results

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

doi:10.1007/978-0-8176-8388-7_2

Option pricing: Classic results

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

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Academic › peer-review

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Abstract

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 language	English
Title of host publication	Static and Dynamic Game Theory
Subtitle of host publication	Foundations and Applications
Publisher	Birkhauser Boston
Pages	17-26
Number of pages	10
Edition	9780817683870
DOIs	https://doi.org/10.1007/978-0-8176-8388-7_2
Publication status	Published - 2013

Publication series

Name	Static and Dynamic Game Theory: Foundations and Applications
Number	9780817683870
ISSN (Print)	2363-8516
ISSN (Electronic)	2363-8524

Keywords

Black and Scholes
Quadratic variation
2023 OA procedure

Access to Document

10.1007/978-0-8176-8388-7_2

978-0-8176-8388-7_2Final published version, 183 KBLicence: Taverne

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). Birkhauser Boston. https://doi.org/10.1007/978-0-8176-8388-7_2

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title = "Option pricing: Classic results",

abstract = "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.",

keywords = "Black and Scholes, Quadratic variation, 2023 OA procedure",

author = "Pierre Bernhard and Engwerda, \{Jacob C.\} and Berend Roorda and Schumacher, \{J. M.\} and Vassili Kolokoltsov and Patrick Saint-Pierre and Aubin, \{Jean Pierre\}",

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doi = "10.1007/978-0-8176-8388-7\_2",

language = "English",

series = "Static and Dynamic Game Theory: Foundations and Applications",

publisher = "Birkhauser Boston",

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}

Bernhard, P, Engwerda, JC, Roorda, B, Schumacher, JM, Kolokoltsov, V, Saint-Pierre, P & Aubin, JP 2013, Option pricing: Classic results. in Static and Dynamic Game Theory: Foundations and Applications. 9780817683870 edn, Static and Dynamic Game Theory: Foundations and Applications, no. 9780817683870, Birkhauser Boston, pp. 17-26. https://doi.org/10.1007/978-0-8176-8388-7_2

Option pricing: Classic results. / Bernhard, Pierre; Engwerda, Jacob C.; Roorda, Berend et al.
Static and Dynamic Game Theory: Foundations and Applications. 9780817683870. ed. Birkhauser Boston, 2013. p. 17-26 (Static and Dynamic Game Theory: Foundations and Applications; No. 9780817683870).

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Academic › peer-review

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Option pricing: Classic results

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