Complexity of Option Pricing

Victor Olkhov

Complexity of Option Pricing

Victor Olkhov *

Contact

Article Fingerprint

ReserarchID

C: FINANCE93Q36

Key Research Insights

Synthesized scholarly intelligence & interactive research assistant

This converted HTML version may contain rendering inconsistencies. Please refer to the PDF for the authoritative version, or click here to provide feedback.

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

1. Fischer Black,Myron Scholes (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654.
2. J Cochrane (2001). Assets Pricing. Assets Pricing
3. H Dyke,S Jenning (2015). Global Structured Finance Rating Criteria. Fitch Ratings, 1-26.
4. E Fama (2014). Two Pillars of Asset Pricing. American Economic Review, 104(6), 1467-1485.
5. M Fujita (2010). The Evolution Of Spatial Economics: From Thünen To The New Economic Geography. The Japanese Economic Review, 61, 1-32.
6. J Hull (2009). Options, Futures and other Derivatives. Options, Futures and other Derivatives
7. N Kraemer,D Vazza (2011). Annual U.S. Corporate Default Study And Rating Transitions. Annual U.S. Corporate Default Study And Rating Transitions, 1-96.
8. R Merton (1973). Theory of Rational Option Pricing. The Bell Journal of Economic and management Sci, 4, 141-183.
9. A Metz,R Cantor (2007). Introducing Moody's Credit Transition Model. Moody's Investor Service, 1-26.
10. V Olkhov (2016). Finance, Risk and Economic space. ACRN Oxford Journal of Finance and Risk Perspectives, Special Issue of Finance Risk and Accounting Perspectives, 8, 209-221.
11. Victor Olkhov (2016). New Look on Macro-Finance Modeling. SSRN Electronic Journal
12. F Perroux (1950). Economic Space: Theory and Applications. The Quarterly Journal of Economics, 64, 89-104.
13. L Tesfatsion,K Judd (2005). Handbook of Computational Economics 2: Agent-Based Computational Economics (Tesfatsion, L. and Judd, K.L., Eds.) [Book Review]. IEEE Computational Intelligence Magazine, 3(4), 39-40.
14. Victor Olkhov (2016). On Economic Space notion. International Review of Financial Analysis, 47, 372-381.

Download References

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 34 (C8)).

More Citation Formats

Select Citation Style:

Download Citation

GJMBR Volume 16 Issue 34 (C8)

Explore Journals Explore Volume Read This Issue

Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

Not Found

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 October 10, 2016

Version of record

v1.2

Issue date

October 10, 2016

Language

English

Order Article Reprint

Experience in AR

Explore published articles in an immersive Augmented Reality environment. Our platform converts research papers into interactive 3D books, allowing readers to view and interact with content using AR and VR compatible devices.

View in VR

Read in 3D

Your published article is automatically converted into a realistic 3D book. Flip through pages and read research papers in a more engaging and interactive format.

View in 3D

Article Matrices

Total Score: 101

Country: Unknown

Subject: Global Journal of Management and Business Research - C: Finance

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

View Count (all-time): 366

Total Views (Real + Logic): 963

Total Downloads (simulated): 63

Publish Date: 2016 10, Wed

Monthly Totals (Real + Logic):

Month 1: 51 views
Month 2: 41 views
Month 3: 49 views
Month 4: 25 views
Month 5: 34 views
Month 6: 19 views
Month 7: 42 views
Month 8: 21 views
Month 9: 36 views
Month 10: 20 views
Month 11: 46 views
Month 12: 43 views
Month 13: 17 views
Month 14: 22 views
Month 15: 24 views
Month 16: 23 views
Month 17: 43 views
Month 18: 26 views
Month 19: 38 views
Month 20: 37 views
Month 21: 31 views
Month 22: 43 views
Month 23: 42 views
Month 24: 21 views
Month 25: 20 views
Month 26: 27 views
Month 27: 22 views
Month 28: 16 views
Month 29: 29 views
Month 30: 39 views
Month 31: 41 views
Month 32: 33 views
Month 33: 13 views
Month 34: 13 views
Month 35: 13 views
Month 36: 23 views
Month 37: 27 views
Month 38: 22 views
Month 39: 12 views
Month 40: 19 views
Month 41: 25 views
Month 42: 22 views
Month 43: 38 views
Month 44: 39 views
Month 45: 19 views
Month 46: 36 views
Month 47: 23 views
Month 48: 39 views
Month 49: 40 views
Month 50: 22 views
Month 51: 32 views
Month 52: 40 views
Month 53: 43 views
Month 54: 30 views
Month 55: 26 views
Month 56: 19 views
Month 57: 28 views
Month 58: 36 views
Month 59: 32 views
Month 60: 33 views
Month 61: 10 views
Month 62: 26 views
Month 63: 29 views
Month 64: 43 views
Month 65: 42 views
Month 66: 17 views
Month 67: 29 views
Month 68: 28 views
Month 69: 10 views
Month 70: 18 views
Month 71: 19 views
Month 72: 32 views
Month 73: 37 views
Month 74: 19 views
Month 75: 18 views
Month 76: 28 views
Month 77: 20 views
Month 78: 44 views
Month 79: 23 views
Month 80: 40 views
Month 81: 33 views
Month 82: 44 views
Month 83: 27 views
Month 84: 20 views
Month 85: 31 views
Month 86: 40 views
Month 87: 48 views
Month 88: 27 views
Month 89: 16 views
Month 90: 30 views
Month 91: 34 views
Month 92: 40 views
Month 93: 36 views
Month 94: 23 views
Month 95: 13 views
Month 96: 43 views
Month 97: 39 views
Month 98: 30 views
Month 99: 49 views
Month 100: 20 views
Month 101: 11 views
Month 102: 20 views
Month 103: 24 views
Month 104: 40 views
Month 105: 33 views
Month 106: 45 views
Month 107: 38 views
Month 108: 38 views
Month 109: 21 views
Month 110: 52 views
Month 111: 40 views
Month 112: 49 views
Month 113: 37 views
Month 114: 46 views
Month 115: 28 views
Month 116: 12 views
Month 117: 34 views
Month 118: 12 views
Month 119: 16 views
Month 120: 18 views
Month 121: 43 views

Total Views: 963

Total Downloads: 63

All Trends