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.