TITLE:
An Approach of Price Process, Risk Measures and European Option Pricing Taking into Account the Rating
AUTHORS:
Calvin Tadmon, Eric Rostand Njike-Tchaptchet
KEYWORDS:
Economic Space, Economic Particle, Rating, Price Process, Risks Measures, Option Pricing
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.10 No.2,
May
21,
2020
ABSTRACT: In this paper, by taking into account the rating in a new concept of economic space, we propose a model of the dynamics of an economic particle, a model of price process, an extension of risk measures, and a new approach of option pricing with associated hedging portfolio.