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.
Change history: [2019-05-12]: Renamed discr_mkt predicate to stk_strict_subs and got rid of predicate A for a more natural definition of the type discrete_market; renamed basic quantity processes for coherent notation; renamed value_process into val_process and closing_value_process to cls_val_process; relaxed hypothesis of lemma CRR_market_fair_price. Added functions to price some basic options. (revision 0b813a1a833f)
BibTeX:
@article{DiscretePricing-AFP,
  author  = {Mnacho Echenim},
  title   = {Pricing in discrete financial models},
  journal = {Archive of Formal Proofs},
  month   = jul,
  year    = 2018,
  note    = {\url{http://isa-afp.org/entries/DiscretePricing.html},
            Formal proof development},
  ISSN    = {2150-914x},
}
License: BSD License