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Algebraic Option Pricing

 13 Settembre, 2019  12:15Sezione di Finanza Quantitativa
evento
 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.