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Risk-indifference Pricing of American-style Contingent Claims
Frederick "Forrest" Miller / Hussein Nasralah / Rohini Kumar / Stephan Sturm
derivatives / mathematical financeResource overview

Risk-indifference Pricing of American-style Contingent Claims

Paper2024

by Frederick "Forrest" Miller, Hussein Nasralah, Rohini Kumar, Stephan Sturm

Tags
derivativesmathematical finance

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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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