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What is Discrete Option Pricing Strategies about?
This paper presents a study on option pricing using a discrete linear investment strategy, providing closed-form formulas for Call and Put options under fixed and stochastic interest rates. The authors extend previous models to accommodate discrete trading, which is more applicable to real market scenarios, and derive option prices based on the Geometric Brownian Motion of stock prices. The findings contribute to the understanding of dynamic investment strategies in the context of European options.
- Author
- Steve Ubiera
- Language
- EN