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Title: Option pricing based on the concept of insurance: market models-Free methods that give as special case the black –Scholes option pricing
Authors: Konstantinos Kyritsis 
Nikos Andoniadis 
Keywords: Μαθηματική οικονομία
Issue Date: 20-Sep-2008
Publisher: Review of Economic Sciences, TEI of Epirus.
Abstract: Abstract In this paper, alternative methods to the Black-Scholes method of option pricing are given, yielding the latter as special case. The alternative methods are similar to the methods of insurance policies pricing in actuarial mathematics. The choice of the model that represents the changes of the price of the underlying exchange market is left open. Numerical examples are given and the proposed method is compared to the traditional Black-Scholes method. The resulting advantages are discussed.
ISSN: 1109-2629
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

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