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- W4226056345 abstract "This paper attempts to derive a fair price for the European put option with trinomial model and to find the hedging strategy by mathematical induction and computer simulation. By completing the market and replicating portfolio, we get the pricing and hedging strategy. We suggest three strategies to derive a price for the European put option under an incomplete market. With fitting degree testing we find that none of them is applicable due to the significance of error. However, the boundaries of maximum and minimum price are found by the three strategies. With the Monte-Carlo method, the option price calculated by induction is validated." @default.
- W4226056345 created "2022-05-05" @default.
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- W4226056345 date "2021-12-03" @default.
- W4226056345 modified "2023-09-23" @default.
- W4226056345 title "Non-arbitrage Pricing and Hedging Strategy for European Put Option Based on Trinomial Model" @default.
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- W4226056345 doi "https://doi.org/10.1145/3507485.3507499" @default.
- W4226056345 hasPublicationYear "2021" @default.
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