Pricing in Discrete Financial Models

Mnacho Echenim

16 July 2018

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.
BSD License

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)

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