2002Unpublished venueRequires access

General pricing formula of European contingent claim and its application

Xue Hong

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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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What this paper is about

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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Available 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.

Key concepts: Martingale (probability theory), Martingale pricing, Economics, Mathematical economics, Valuation of options, Value (mathematics), Rational pricing, Mathematics

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