Pricing in discrete financial models


Title: Pricing in discrete financial models
Author: Mnacho Echenim
Submission date: 2018-07-16
Abstract: We have formalized the computation of fair prices for derivative products in discrete financial models. As an application, we derive a way to compute fair prices of derivative products in the Cox-Ross-Rubinstein model of a financial market, thus completing the work that was presented in this paper.
  author  = {Mnacho Echenim},
  title   = {Pricing in discrete financial models},
  journal = {Archive of Formal Proofs},
  month   = jul,
  year    = 2018,
  note    = {\url{},
            Formal proof development},
  ISSN    = {2150-914x},
License: BSD License