Price as a matter of choice and nonstochastic randomness

Yaroslav Ivanenko

Papers from arXiv.org

Abstract: A version of indifference valuation of a European call option is proposed that includes statistical regularities of nonstochastic randomness. Classical relations (forward contract value and Black-Scholes formula) are obtained as particular cases. We show that in the general case of nonstochastic randomness the minimal expected profit of uncovered European option position is always negative. A version of delta hedge is proposed.

Date: 2010-06, Revised 2011-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1006.2555

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