Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098010 | Journal of Economic Dynamics and Control | 2017 | 16 Pages |
Abstract
Finally, the equal risk pricing approach is applied to a constrained Black-Scholes market model where short-selling is banned. In particular, simple pricing formulas are derived for European calls, European puts and American puts.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Ivan Guo, Song-Ping Zhu,