On Hidden Problems of Option Pricing

Victor Olkhov

MPRA Paper from University Library of Munich, Germany

Abstract: This paper gives new look on option pricing and Black-Scholes-Merton equation within economic space point of view. We argue reasons for economic space definition and it’s application for options pricing. Our approach allows review classical Black-Sholes-Merton model and discovers hidden complexity of option pricing. We derive Black-Sholes-Merton equation on n-dimensional economic space and argue new tough problems.

Keywords: Option Pricing; Black-Scholes-Merton Equations; Economic Space (search for similar items in EconPapers)
JEL-codes: C02 G12 G17 (search for similar items in EconPapers)
Date: 2016-08
New Economics Papers: this item is included in nep-cfn
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:87173

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