Showing 1 - 8 of 8
In this short notice, we present structure of the perfect hedging. Closed form formulas clarify the fact that Black-Scholes (BS) portfolio which provides perfect hedge only at initial moment. Holding portfolio over a certain period implies additional cash flow, which could not be imbedded in BS...
Persistent link: https://www.econbiz.de/10013000876
In some papers we remarked that derivation of the Black Scholes Equation (BSE) contains mathematical ambiguities. In particular, there are two problems which can be raised by accepting Black Scholes (BS) pricing concept. One is technical derivation of the BSE and the other the pricing definition...
Persistent link: https://www.econbiz.de/10012986060
Persistent link: https://www.econbiz.de/10013133987
Persistent link: https://www.econbiz.de/10013121075
In this paper we represent alternative approach for exotics options valuation problem. We study the time-space discrete valuation setting that usually referred to as the binomial scheme if states are two. The main distinction of the alternative pricing approach is that we interpret price of the...
Persistent link: https://www.econbiz.de/10013099215
This paper presents a fallacy of the Black and Scholes' (BS) option pricing concept. The BS pricing is still the unique theoretical way for pricing derivatives though quite a large number of expert have found a lot of remarks concerning its theoretical and practical failings. We should note that...
Persistent link: https://www.econbiz.de/10013101188
In this short presentation we present another point of view on pricing derivatives. This point does present a direct alternative to the Black Scholes pricing concept. We do not make additional assumptions and we do not change existing axioms of the theory. We have developed a new interpretation...
Persistent link: https://www.econbiz.de/10013072591
In this paper we present drawbacks of the Black-Scholes option pricing theory. Shorter version of this paper were announced in [8]. Black-Scholes option theory represents unified construction of no arbitrage pricing. It is common to think that in the theory Black-Scholes price represents the...
Persistent link: https://www.econbiz.de/10013057430