Optimal option pricing and trading: a new theory

Alghalith Moawia

MPRA Paper from University Library of Munich, Germany

Abstract: We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.

Keywords: option; derivative; asset; stochastic (search for similar items in EconPapers)
JEL-codes: G12 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-fmk
Date: 2009-12-14
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http://mpra.ub.uni-muenchen.de/19317/ original version (application/pdf)
http://mpra.ub.uni-muenchen.de/21949/ revised version (application/pdf)

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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:19317

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