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Far East Journal of Applied Mathematics

Far East Journal of Applied Mathematics
Volume 94, Issue 5, Pages 331 - 342 (May 2016)
http://dx.doi.org/10.17654/AM094050331

PARAMETRIC SOLUTION FOR GEOMETRIC PRICING

Yukio Hirashita

Abstract:

The geometric price of the random payoff is usually given as the solution of simultaneous integral equations, and it is difficult to obtain its closed form solution. In this paper, we study the parametric solution of the geometric price of the random payoff and we investigate it by considering five cases based on the value of c.