Call and Put Option Pricing with Discrete Linear Investment Strategy

10/10/2021

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by   Niloofar Ghorbani, et al.

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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.