Author(s)

Niloofar Ghorbani¹, Andrzej Korzeniowski²

¹Department of Mathematical Sciences, High Point University, High Point, USA.
²Department of Mathematics, Arlington, Texas, USA.

We study the Option pricing with linear investment strategy based on discrete time trading of the underlying security, which unlike the existing continuous trading models, provides a feasible real market implementation. Closed form formulas for Call and Put Option price are established for fixed interest rates and their extensions to stochastic Vasicek and Hull-White interest rates.

Discrete Dynamic Investment Strategy, Stochastic Interest Rates, Vasicek Model, Hull-White Model, European Call Option, European Put Option

Ghorbani, N. and Korzeniowski, A. (2022) Call and Put Option Pricing with Discrete Linear Investment Strategy. Journal of Mathematical Finance, 12, 84-96. doi: 10.4236/jmf.2022.121005.