Optionality as a Binary Operation

Carr, Peter; Santos, Douglas C.

doi:10.2139/ssrn.4018065

Search citation statements

Order By: Relevance

Paper Sections

Select...

Financial Interpretations Of ⊕ B and ⊕ - B1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2024

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

(1 citation statement)

References 4 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The pseudo-sums x 1 ⊕ b x 2 and x 1 ⊕ - b x 2 , as defined in equations (4.4) and (4.9) and 4_9 of §4, can be both interpreted as the arbitrage-free values of particular contingent claims. This strengthens the idea of the usefulness of non-Newtonian calculus in finance, as already observed in [17,18].…”

Section: Financial Interpretations Of ⊕ B and ⊕ - Bsupporting

confidence: 87%

A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims

Carr,

Cirillo

2024

R. Soc. Open Sci.

View full text Add to dashboard Cite

We explore an extension of the memoryless property for continuous random variables by using the concept of pseudo-sum. Subsequently, we demonstrate the practicality of this approach through two financial applications in which pseudo-sums characterize the values of arbitrage-free contingent claims. Moreover, we are able to establish new interesting connections between different probability distributions.

show abstract