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Paper / 2023SMQ / 103835546644490
Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
Ricardo T. Fernholz / Robert Fernholz
derivatives / option pricingResource overview

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing

Paper2023

by Ricardo T. Fernholz, Robert Fernholz

Tags
derivativesoption pricing

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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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