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Agent-Based Models for Two Stocks with Superhedging
Dario Crisci / Konrad Gajewski / Sebastian E. Ferrando
algorithmsResource overview

Agent-Based Models for Two Stocks with Superhedging

Paper2025

by Dario Crisci, Konrad Gajewski, Sebastian E. Ferrando

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algorithms

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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.

Go further

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

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

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