### Abstract

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.

### License

BSD License

### History

May 12, 2019
  Renamed discr_mkt predicate to stk_strict_subs and got rid of predicate A for a more natural definition of the type discrete_market; renamed basic quantity processes for coherent notation; renamed value_process into val_process and closing_value_process to cls_val_process; relaxed hypothesis of lemma CRR_market_fair_price. Added functions to price some basic options. (revision 0b813a1a833f)

### Topics

- Mathematics/Probability theory
- Mathematics/Games and economics

### Session DiscretePricing

- Generated_Subalgebra
- Filtration
- Martingale
- Disc_Cond_Expect
- Infinite_Coin_Toss_Space
- Geometric_Random_Walk
- Fair_Price
- CRR_Model
- Option_Price_Examples

## Cite

×

DiscretePricing-AFP

    @article{DiscretePricing-AFP,
      author  = {Mnacho Echenim},
      title   = {Pricing in discrete financial models},
      journal = {Archive of Formal Proofs},
      month   = {July},
      year    = {2018},
      note    = {\url{https://isa-afp.org/entries/DiscretePricing.html},
                 Formal proof development},
      ISSN    = {2150-914x},
    }

Download

## Download

× Download latest

Older releases:

- Sep 13, 2023 : Isabelle2023
- Oct 27, 2022 : Isabelle2022
- Dec 14, 2021 : Isabelle2021-1
- Feb 23, 2021 : Isabelle2021
- Apr 18, 2020 : Isabelle2020
- Jun 11, 2019 : Isabelle2019
- Aug 16, 2018 : Isabelle2018
- Jul 18, 2018 : Isabelle2017