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Wang, X.F. and Wang, L. (2007) Study on Black-Scholes Stock Option Pricing Model Based on Investment Strategy. International Journal of Innovative Computing, Information and Control, 3, 1755-1780.

has been cited by the following article:

• TITLE: Call and Put Option Pricing with Discrete Linear Investment Strategy

  AUTHORS: Niloofar Ghorbani, Andrzej Korzeniowski

  KEYWORDS: Discrete Dynamic Investment Strategy, Stochastic Interest Rates, Vasicek Model, Hull-White Model, European Call Option, European Put Option

  JOURNAL NAME: Journal of Mathematical Finance, Vol.12 No.1, January 29, 2022

  ABSTRACT: We study the Option pricing with linear investment strategy based on discrete time trading of the underlying security, which unlike the existing continuous trading models, provides a feasible real market implementation. Closed form formulas for Call and Put Option price are established for fixed interest rates and their extensions to stochastic Vasicek and Hull-White interest rates.