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Ghorbani, N. and Korzeniowski, A. (2020) Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates. Journal of Mathematical Finance, 10, 697-704. https://doi.org/10.4236/jmf.2020.104040

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.