英文标题：
《Option pricing: A yet simpler approach》
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作者：
Jarno Talponen and Minna Turunen
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最新提交年份：
2018
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英文摘要：
  We provide a lean, non-technical exposition on the pricing of path-dependent and European-style derivatives in the Cox-Ross-Rubinstein (CRR) pricing model. The main tool used in the paper for cleaning up the reasoning is applying static hedging arguments.   This can be accomplished by taking various routes through some auxiliary considerations, namely Arrow-Debreu securities, digital options or backward random processes. In the last case the CRR model is extended to an infinite state space which leads to an interesting new phenomenon not present in the classical CRR model.   At the end we discuss the paradox involving the drift parameter $\\mu$ in the BSM model pricing. We provide sensitivity analysis and the speed of converge for the asymptotically vanishing drift.
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中文摘要：
我们在考克斯-罗斯-鲁宾斯坦（Cox-Ross-Rubinstein，CRR）定价模型中对路径依赖型和欧式衍生品的定价进行了精简、非技术性的阐述。本文中用于清理推理的主要工具是应用静态套期保值参数。这可以通过一些辅助考虑，即Arrow-Debreu证券、数字期权或反向随机过程，采取各种途径来实现。在最后一种情况下，CRR模型被扩展到无限状态空间，这导致了经典CRR模型中不存在的有趣的新现象。最后，我们讨论了BSM模型定价中涉及漂移参数$\\ mu$的悖论。我们提供了渐近消失漂移的灵敏度分析和收敛速度。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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