Abstract
We consider an investor operating in a bond-stock market with derivatives who is going to buy/sell a stock. His decision problem is whether to buy or not to buy the corresponding option. We define the mean profit of such a potential option holder as a mean difference between his outlay for the stock in the cases of both owning the option or not owning. We consider market models: the classical Cox—Ross—Rubinstein, the classical Black—Scholes, and a non-classical continuous time model driven by the geometric integral Ornstein—Uhlenbeck process. For a defined class of contingent claims, we obtain conditions on non-negative/non-positive values of the mean profit.
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References
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© 2001 Springer Science+Business Media New York
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Rusakov, O.V. (2001). On Mean Value of Profit for Option Holder: Cases of a Non-Classical and the Classical Market Models. In: Balakrishnan, N., Ibragimov, I.A., Nevzorov, V.B. (eds) Asymptotic Methods in Probability and Statistics with Applications. Statistics for Industry and Technology. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0209-7_37
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DOI: https://doi.org/10.1007/978-1-4612-0209-7_37
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-1-4612-6663-1
Online ISBN: 978-1-4612-0209-7
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