General pricing formula of European contingent claim and its application
Xue Hong
Abstract
Xue Hong
Abstract
By means of backward stochastic different equation and martingale methods,this paper obtaines general pricing formula of European contingent claim.In the particular financial market,the pricing formula of European option and application in value of project are considered. The results showed that the option pricing method to compute net present value of item and necessary parameters were more reasonable and easy decided than the traditional method.
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By means of backward stochastic different equation and martingale methods,this paper obtaines general pricing formula of European contingent claim.In the particular financial market,the pricing formula of European option and application in value of project are considered. The results showed that the option pricing method to compute net present value of item and necessary parameters were more reasonable and easy decided than the traditional method.
Key concepts: Martingale (probability theory), Martingale pricing, Economics, Mathematical economics, Valuation of options, Value (mathematics), Rational pricing, Mathematics