Vassili Kolokoltsov
Nothingham Trent University
vk@euler.ntu.ac.uk
Exposé au Groupe de Travail Algèbres Tropicales
29 Mars 1999
Abstract.
Unlike the original stochastic analysis method of deduction the famous Black-Sholes and Cox-Ross-Rubinstein formulas for option pricing, a deterministic approach, on the one hand, dwells to a more elementary foundation, and on the other hand, leads to a different type of generalisations of BS and CRR formulas characterised by more rough assumptions on the underlying common stocks evolution. This approach also provides a clear connection of option pricing theory with the theory of nonexpansive homogeneous maps, and thus with nonlinear idempotency.