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Topic: [isabelle] new AFP entry: Pricing in discrete financial ...

Email Gateway (Aug 22 2022 at 17:52):

From: Gerwin.Klein@data61.csiro.au
https://www.isa-afp.org/entries/DiscretePricing.html

Pricing in discrete financial models
by Mnacho Echenim

We have formalized the computation of fair prices for derivative products in discrete financial models. As an application, we derive a way to compute fair prices of derivative products in the Cox-Ross-Rubinstein model of a financial market, thus completing the work that was presented in this paper[0].

[0]: https://hal.archives-ouvertes.fr/hal-01562944

Enjoy!
Gerwin

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