Complexity of Option Pricing

Authors

  • Victor Olkhov

Keywords:

option pricing, black-scholes-merton equations, economic space

Abstract

This paper discusses internal complexity of assets and option pricing. We review the Black-Scholes-Merton equation within economic space point of view. We argue reasons for economic space definition and discuss it#x2019;s application for options pricing. Our approach allows revise classical Black-Sholes-Merton model and discovers hidden complication for truthful pricing of assets and options. We derive Black-Sholes-Merton equation on n-dimensional economic space and argue tough problems that should be solved to make option pricing more accurate.

How to Cite

Victor Olkhov. (2016). Complexity of Option Pricing. Global Journal of Management and Business Research, 16(C8), 15–20. Retrieved from https://journalofbusiness.org/index.php/GJMBR/article/view/2117

Complexity of Option Pricing

Published

2016-05-15