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Abstract: A version of indifference valuation of a European call option is proposedthat includes statistical regularities of nonstochastic randomness. Classicalrelations forward contract value and Black-Scholes formula are obtained asparticular cases. We show that in the general case of nonstochastic randomnessthe minimal expected profit of uncovered European option position is alwaysnegative. A version of delta hedge is proposed.



Author: Yaroslav Ivanenko

Source: https://arxiv.org/







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