Skip to main content
SpringerLink
Log in

On the relation between the original and the discounted model in Black/Scholes model

  • Published:
Korean Journal of Computational and Applied Mathematics Aims and scope Submit manuscript

Abstract

In this paper, we reduce the trading strategy of discounted security model to trading strategy of original model

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. F. Black and M. Scholes,The pricing of options and corporate liabilities, J. Political Economy 81, 637–654(1973).

    Article  Google Scholar 

  2. P. Bremaud,Point processes and queues, Springer-Verlag, Berlin, Heidelberg, New York(1980).

    Google Scholar 

  3. I. I. Gihman and A. V. Skorohod,Stochastic differential equations, Springer-Verlag, Berlin, Heidelberg, New York(1972).

    MATH  Google Scholar 

  4. S. Muller,Arbitrage pricing of contingent claims, Springer-Verlag, Berlin, Heidelberg, New York(1985).

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Mathematics, University of Inchon, 402-749, Inchon, Korea

    Won Choi

Authors
  1. Won Choi
    View author publications

    You can also search for this author in PubMed Google Scholar

Rights and permissions

Reprints and permissions

About this article

Cite this article

Choi, W. On the relation between the original and the discounted model in Black/Scholes model. Korean J. CAM 2, 47–52 (1995). https://doi.org/10.1007/BF03008962

Download citation

  • Received:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF03008962

1991 AMS Mathematical Subject Classification

Search

Navigation