AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY

Siu-Ah Ng ()
Additional contact information
Siu-Ah Ng: School of Mathematical Sciences, University of Natal, Pietermaritzburg, 3209, South Africa

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 05, 623-633

Abstract: The paradox of the Stop-Loss-Start-Gain trading strategy is resolved by showing that along the hyperfinite timeline the strategy incurs infinitesimal losses summing up to a non-infinitesimal amount. As a consequence, the Black–Scholes formula is derived using only hyperreal arithmetic and Riemann sum, probably the most elementary derivation thus far.

Keywords: Nonstandard analysis; infinitesimal; hyperreal; stop-loss-start-gain; Black–Scholes; asset pricing (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024905003141
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003141

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024905003141

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().