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 13 Settembre, 2019  12:15
Sezione di Finanza Quantitativa

Algebraic Option Pricing

 Peter Carr, New York University
 Sala Consiglio settimo piano
Abstract

Optionality arises whenever an investor can choose between owning either of two
assets. We treat the value of optionality as a modified sum. We then explore
options on options as sums of sums. This viewpoint allows us to derive a simple
closed form formula for a Bermudan option.