Risk-Neutral Valuation of Options under Arithmetic Brownian Motions
By Qiang LIU, Yuhan JIAO, Shuxin GUO
Rating
1359
Battle Count: 158
Relevance
8/10
Provides alternative options pricing formulas that can be particularly relevant for commodities and futures markets
Implementation Complexity
6/10
Requires understanding of stochastic calculus and partial differential equations, but formulas are provided explicitly
Reproducibility
4/5
Mathematical derivations and formulas are provided in detail, allowing for reproduction of results
About this paper
Methodology: Risk-neutral valuation. Problem types: Options Pricing, Derivative Pricing.
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