Mathematical Elements of Finance in Continuous Time
Journal Title: Libyan Journal of Engineering Science and Technology - Year 2024, Vol 4, Issue 1
Abstract
The aim of this paper is to provide a short study futures contract pricing. In the beginning we start with Ito formula which has many applications especially in area of financial mathematics based on options pricing theory which evaluate a value of an option contract by assigning a price that also based on the calculated probability that the contract will finish in the money at expiration. Mostly option pricing theory tools us an evolution of an option's fair value which traders in integrate into their strategies thus we saw that aimed of it is to compute the probability that an option will be exercised or be in the money at expiration .Derivative valuation often impose the input of an unobservable market price of risk fortunately the risk-neutral approach provides two effective results which can help identify the price of risk .In addition we presented the concept of call and put option and their effects of buying or selling at same strike price. Furthermore, we work with the slightly more general model for stock prices as an obvious example to explanted the Black-Scholes and martingales.
Authors and Affiliations
A. Ahlam¹, H. Ebtessam²
Keywords
Related Articles
- EP ID EP740315
- DOI -
- Views 40
- Downloads 1
Aircraft Spoilers Aerodynamics Mechanism of Braking During Landing and the Associated Radiated Tonal Noise
Spoilers are panels mounted on the suction surface of aircrafts wings. Their main function is to slow the aircraft down during landing. In this article, numerical simulations of the flow around a wing airfoil with spoile...
Wireless Power Transfer
Abstract—Wireless charging of gadgets is one of the new emerging technologies in the world at the moment. The most common method used at the moment is wireless power transfer (WPT) by resonant inductive coupling. Wirele...
Geological investigation of the Upper Part of Memouniat Formation in Well I1-NC2, Ghadames Basin.
— Memouniat Formation proved to be a good reservoir in Concession NC2, containing gas and condensate at its upper part. The Memouniat clean sandstone units are anticipated good percent porosity and an average permeab...
Invention and Development New Equation for Calculate the Intensity of Solar Radiation and Compared with the Measured Value by the Pyranometer
Abstract— Identifying closely the solar energy and its uses, importance, and the positive and negative aspects as well as the study of solar radiation and its components including the effect of weather on the intensit...
Experimental and Numerical Study of the Motion of the Carrier (NACA4412) through the Air Tunnel
The paper presents the numerical and experimental results obtained with the use of the FLUENT software for analyzing the carrier (NACA4412) motion through an air tunnel. This study will be considered as an alternativ...