13 Settembre, 2019 12:15
Sezione di Finanza Quantitativa
Algebraic Option Pricing
Peter Carr, New York University
Sala Consiglio settimo piano
Abstract
Optionality arises whenever an investor can choose between owning either of two
assets. We treat the value of optionality as a modified sum. We then explore
options on options as sums of sums. This viewpoint allows us to derive a simple
closed form formula for a Bermudan option.