英文标题：
《An elementary approach to the option pricing problem》
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作者：
Nikolaos Halidias
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最新提交年份：
2016
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英文摘要：
Our goal here is to discuss the pricing problem of European and American options in discrete time using elementary calculus so as to be an easy reference for first year undergraduate students. Using the binomial model we compute the fair price of European and American options. We explain the notion of Arbitrage and the notion of the fair price of an option using common sense. We give a criterion that the holder can use to decide when it is appropriate to exercise the option. We prove the put-call parity formulas for both European and American options and we discuss the relation between American and European options. We give also the bounds for European and American options. We also discuss the portfolio\'s optimization problem and the fair value in the case where the holder can not produce the opposite portfolio.
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中文摘要：
我们的目标是利用初等微积分来讨论离散时间内欧式和美式期权的定价问题，以便于一年级本科生参考。利用二项式模型，我们计算了欧洲和美国期权的公平价格。我们用常识解释了套利的概念和期权的公平价格的概念。我们给出了持有人可以用来决定何时行使期权的标准。我们证明了欧式和美式期权的看跌期权平价公式，并讨论了美式和欧式期权之间的关系。我们还给出了欧洲和美国选项的界限。我们还讨论了在持有人不能产生相反投资组合的情况下，投资组合的优化问题和公允价值。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Numerical Analysis 数值分析
分类描述：Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法，科学计算
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