Complexity of Option Pricing

Victor Olkhov

Complexity of Option Pricing

Victor Olkhov *

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Abstract

This paper discusses internal complexity of assets and option pricing. We review the Black-Scholes-Merton equation within economic space point of view. We argue reasons for economic space definition and discuss it’s application for options pricing. Our approach allows revise classical Black-Sholes-Merton model and discovers hidden complication for truthful pricing of assets and options. We derive Black-Sholes-Merton equation on n-dimensional economic space and argue tough problems that should be solved to make option pricing more accurate.

References

14 Cites in Article

Reference Format

Fischer Black,Myron Scholes (1973). The Pricing of Options and Corporate Liabilities.
J Cochrane (2001). Assets Pricing.
H Dyke,S Jenning (2015). Global Structured Finance Rating Criteria.
E Fama (2014). Two Pillars of Asset Pricing.
M Fujita (2010). The Evolution Of Spatial Economics: From Thünen To The New Economic Geography.
J Hull (2009). Options, Futures and other Derivatives.
N Kraemer,D Vazza (2011). Annual U.S. Corporate Default Study And Rating Transitions.
R Merton (1973). Theory of Rational Option Pricing.
A Metz,R Cantor (2007). Introducing Moody's Credit Transition Model.
V Olkhov (2016). Finance, Risk and Economic space.
Victor Olkhov (2016). New Look on Macro-Finance Modeling.
F Perroux (1950). Economic Space: Theory and Applications.
L Tesfatsion,K Judd (2005). Handbook of Computational Economics 2: Agent-Based Computational Economics (Tesfatsion, L. and Judd, K.L., Eds.) [Book Review].
Victor Olkhov (2016). On Economic Space notion.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Victor Olkhov. 2016. "Complexity of Option Pricing". Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 16 (GJMBR Volume 16 Issue C8).

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GJMBR Volume 16 Issue C8

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

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Classification

GJMBR-C Classification JEL Code: C500

C520

C530

C600

G110

G130

Submission ReceivedDecember 9, 2015
Peer Review Double Blind
Handling Editor
Accepted January 4, 2016
Published January 15, 2016

Version of record

v1.2

Issue date

December 10, 2016

Language

English

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Article Matrices

Total Score: 148

Country: Unknown

Subject: Global Journal of Management and Business Research

Authors: Victor Olkhov (PhD/Dr. count: 0)

View Count (all-time): 304

Total Views (Real + Logic): 941

Total Downloads (simulated): 61

Publish Date: 2016 01, Fri

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Total Views: 941

Total Downloads: 61

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