Trading Strategy Adipted Optimization of European Call Option

Details Trading Strategy Adipted Optimization of European Call Option Trading Strategy Adipted Optimization of European Call Option

2005-03-22

arxiv.org/abs/math/0503444v1

Mathematics

Optimization and Control

AMS-LaTeX, 3 pages

Scientific paper

Optimal pricing of European call option is described by linear stochastic
differential equation. Trading strategy given by a twin of stochastic variables
was integrated w.r.t. Black-Scholes formula to adopt optimal pricing to
tarading strategy.

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