TITLE:
Risk-Neutral Pricing of European Call Options: A Specious Concept
AUTHORS:
Daniel T. Cassidy
KEYWORDS:
Risk-Neutral Pricing, European Call Options, Girsanov’s Theorem, Specious
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.8 No.2,
May
9,
2018
ABSTRACT: Risk-neutral pricing of European call options is investigated from a mathematical point-of-view and is found to be a specious concept1. Risk-neutral pricing of European call options is an approximation in which all terms of order are ignored, where is the risk premium and σ is the volatility.