Alternative Derivatives Pricing - Gikhman, Ilya
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There are several distinctions between this book and others. The primary distinction is that we developed derivatives pricing which could not be reduced to Black-Scholes benchmark. Other distinction we do not used either expected or present value reduction standards to present equality two cash flows generated by derivative instruments. Our approach in pricing derivatives is based on the equal investment principle applied for each admissible scenario. For instance, a call option price is reflected by the underlying return for each scenario that promises price at maturity higher than its…mehr

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Produktbeschreibung
There are several distinctions between this book and others. The primary distinction is that we developed derivatives pricing which could not be reduced to Black-Scholes benchmark. Other distinction we do not used either expected or present value reduction standards to present equality two cash flows generated by derivative instruments. Our approach in pricing derivatives is based on the equal investment principle applied for each admissible scenario. For instance, a call option price is reflected by the underlying return for each scenario that promises price at maturity higher than its strike. The main peculiarity of this pricing is that there is no fair price and each spot or theoretical prices implies the risk. This market risk can be calculated based on statistical assumption regarding distribution of the derivative underlying.
Autorenporträt
Extended research and teaching in probability and financial fields. Doctorate degree, Institute of Mathematics, Kiev. Dissertation: "Stochastic Equations: Studies and Their Applications." Principal Researcher, Department of Probability and Statistics IPMM, Donetsk, Ukraine. Teaching in University of Cincinnati, Northern Kentucky University.