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Paper / 2006SMQ / 88564880443354
A class of financial products and models where super-replication prices are explicit
Emmanuel Gobet / Emmanuel Temam / Laurence Carassus
derivatives / option pricingResource overview

A class of financial products and models where super-replication prices are explicit

Paper2006

by Emmanuel Gobet, Emmanuel Temam, Laurence Carassus

Tags
derivativesoption pricingoptions hedging

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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