Trading Strategy Adipted Optimization of European Call Option

Name: Trading Strategy Adipted Optimization of European Call Option
Author: Toshio Fukumi

Toshio Fukumi

paper2005-03-22English

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algorithmic tradingarxiv

Description

Optimal pricing of European call option is described by linear stochastic differential equation. Trading strategy given by a twin of stochastic variables was integrated w.r.t. Black-Scholes formula to adopt optimal pricing to tarading strategy.

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