Trading Strategy Adipted Optimization of European Call Option
Optimization and Control
2007-05-23 v1 Probability
Abstract
Optimal pricing of European call option is described by linear stochastic differential equation. Trading strategy given by a twin of stochastic variables was integrated w.r.t. Black-Scholes formula to adopt optimal pricing to tarading strategy.
Cite
@article{arxiv.math/0503444,
title = {Trading Strategy Adipted Optimization of European Call Option},
author = {Toshio Fukumi},
journal= {arXiv preprint arXiv:math/0503444},
year = {2007}
}
Comments
AMS-LaTeX, 3 pages