Analysis of Option Pricing with Game Theory
Zhang Cai · Journal of Southwest Jiaotong University · 2003
The principle of option pricing is difficult to understand because derivation of the BlackScholes formula needs the knowledge of complicated partial derivation. To make it simple, trading of options is regarded as a game, and option pricing becomes calculation of the expectation value of a share during the trade. The variation of the price of a share is an infinite random process. Therefore, the expectation value can be obtained through calculation of the distribution function of the random process.