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An actuarial approach to option pricing under the physical measure and without market assumptions

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  • Bladt, Mogens
  • Rydberg, Tina Hviid

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  • Bladt, Mogens & Rydberg, Tina Hviid, 1998. "An actuarial approach to option pricing under the physical measure and without market assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 65-73, May.
    • Handle: RePEc:eee:insuma:v:22:y:1998:i:1:p:65-73
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    References listed on IDEAS

    as
    1. Ernst Eberlein & Jean Jacod, 1997. "On the range of options prices (*)," Finance and Stochastics, Springer, vol. 1(2), pages 131-140.
    2. repec:bla:jfinan:v:44:y:1989:i:1:p:205-09 is not listed on IDEAS
    3. Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    5. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Axel A. Araneda, 2023. "A multifractional option pricing formula," Papers 2303.16314, arXiv.org, revised Jun 2024.
    2. Zhuoxin Liu & Laijun Zhao & Chenchen Wang & Yong Yang & Jian Xue & Xin Bo & Deqiang Li & Dengguo Liu, 2019. "An Actuarial Pricing Method for Air Quality Index Options," IJERPH, MDPI, vol. 16(24), pages 1-19, December.
    3. Elizondo Rocío & Padilla Pablo, 2008. "An Analytical Approach to Merton's Rational Option Pricing Theory," Working Papers 2008-03, Banco de México.
    4. Elizondo Rocío & Padilla Pablo & Bladt Mogens, 2009. "An Alternative Formula to Price American Options," Working Papers 2009-06, Banco de México.
    5. Foad Shokrollahi & Davood Ahmadian & Luca Vincenzo Ballestra, 2021. "Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps," Papers 2105.06999, arXiv.org.
    6. Yannis G. Yatracos, 2013. "A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role," Papers 1304.4929, arXiv.org, revised Nov 2014.
    7. Panhong Cheng & Zhihong Xu & Zexing Dai, 2023. "Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment," Mathematics and Financial Economics, Springer, volume 17, number 3, December.
    8. Schmitz, Norbert, 2005. "Note on option pricing by actuarial considerations," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 517-518, June.

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