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

Effect of Absorbent Plate’s Shape on the Efficiency of Solar Air Collectors

This research presents an experimental study on the performance of a solar-air collector when fins are attached to the absorbing plate in a particular arrangement (long fins, in-line short fins and staggered short f...

Research and Development Aspects of PV/T Collector Performance: An Overview

A photovoltaic thermal (PV/T) collector is a system that combines a photovoltaic module with a solar thermal system in one device in order to convert the incident sunlight into electricity and produce thermal heat si...

Environmental Geochemistry of the Beach Sands Along the Coast between Al Kuwifia and Tolmeita, NE Libya

The present work aims to characterize the environmental geochemistry of the beach sands along the Mediterranean Coast from Al Kuwifia to Tolmeita, NE Libya. The prevailing well oxidizing coastal environments are well...

ZF and MMSE Detectors Performances Analysis of A Massive MIMO System

In the past few decades, as one of the key technologies to improve spectrum efficiency, multiple input multiple output (MIMO) systems have been extensively studied. Compared with traditional signal detection using ma...

Flutter Structural Analysis of an Aircraft Wing

In this project, the flutter analysis of wing section (airfoil) has been done using Lagrange’s energy method. Firstly, surveying on related topics to this project has been processed in order to have a good grasp of hi...

Download PDF file
  • EP ID EP740315
  • DOI -
  • Views 74
  • Downloads 1

How To Cite

A. Ahlam¹, H. Ebtessam² (2024). Mathematical Elements of Finance in Continuous Time. Libyan Journal of Engineering Science and Technology, 4(1), -. https://europub.co.uk/articles/-A-740315