An Approach of Price Process, Risk Measures and European Option Pricing Taking into Account the Rating

Authors :: Eric Rostand Njike-Tchaptchet
Calvin Tadmon
Source :: Journal of Mathematical Finance. 10:306-333
Publication Year :: 2020
Publisher :: Scientific Research Publishing, Inc., 2020.
Abstract: In this paper, by taking into account the rating in a new concept of economic space, we propose a model of the dynamics of an economic particle, a model of price process, an extension of risk measures, and a new approach of option pricing with associated hedging portfolio.

Subjects :: Economic space
Valuation of options
Process (engineering)
Economics
Econometrics
Portfolio
Extension (predicate logic)

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