>Magister Scientiae - MSc / This paper focuses on the newly revived interest to model free approach in finance. Instead of postulating some probability measure it emerges in a form of an outer-measure. We review the behavior of a market stock price and the stochastic assumptions imposed to the stock price when deriving the Black-Scholes formula in the classical case. Without any stochastic assumptions we derive the Black-Scholes formula using a model free approach. We do this by means of protocols that describe the market/game. We prove a statement that prices a European option in continuous time.
Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uwc/oai:etd.uwc.ac.za:11394/5666 |
Date | January 2016 |
Creators | Nkosi, Siboniso Confrence |
Contributors | Mhlanga, Farai J. |
Publisher | University of the Western Cape |
Source Sets | South African National ETD Portal |
Language | English |
Detected Language | English |
Rights | University of the Western Cape |
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