Complexity of Option Pricing

Victor Olkhov

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'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.

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How to Cite

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

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