Risk-Neutral Pricing of European Call Options: A Specious Concept

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DOI: 10.4236/jmf.2018.82022    882 Downloads   3,603 Views  Citations
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ABSTRACT

Risk-neutral pricing of European call options is investigated from a mathematical point-of-view and is found to be a specious concept1. Risk-neutral pricing of European call options is an approximation in which all terms of order are ignored, where is the risk premium and σ is the volatility.

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T. Cassidy, D. (2018) Risk-Neutral Pricing of European Call Options: A Specious Concept. Journal of Mathematical Finance, 8, 335-348. doi: 10.4236/jmf.2018.82022.
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