{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,5,14]],"date-time":"2025-05-14T04:50:54Z","timestamp":1747198254957,"version":"3.40.5"},"reference-count":9,"publisher":"Walter de Gruyter GmbH","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2024,3,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>There is no method of predicting the price of an option other than hedging strategies such as the binomial hedging strategy, the Black\u2013Scholes hedging strategy and others.\nWe will study these two basic hedging strategies in terms of their feasibility, and we will see that the Black\u2013Scholes hedging strategy is not feasible because this strategy demands instantaneously rebuilding the replicating portfolio.\nConsequently, the real world prices of the options are not relevant at all with the Black\u2013Scholes hedging strategy!\nWe will suitably redefine the binomial hedging strategy so that it will be practically useful and present other feasible and generally more effective hedging strategies with some of them practically useful for options with no tradable underlying assets.\nFinally, we will mention some open questions related to the above.<\/jats:p>","DOI":"10.1515\/mcma-2023-2014","type":"journal-article","created":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T17:41:01Z","timestamp":1698082861000},"page":"1-17","source":"Crossref","is-referenced-by-count":1,"title":["Option pricing: Examples and open problems"],"prefix":"10.1515","volume":"30","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8756-8229","authenticated-orcid":false,"given":"Nikolaos","family":"Halidias","sequence":"first","affiliation":[{"name":"Department of Statistics and Actuarial-Financial Mathematics , University of the Aegean , Karlovassi 83200, Samos , Greece"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2023,10,24]]},"reference":[{"key":"2024022618254280942_j_mcma-2023-2014_ref_001","doi-asserted-by":"crossref","unstructured":"L. Bachelier,\nTh\u00e9orie de la sp\u00e9culation,\nAnn. Sc. \u00c9c. Norm. Sup\u00e9r. (3) 17 (1900), 21\u201386.","DOI":"10.24033\/asens.476"},{"key":"2024022618254280942_j_mcma-2023-2014_ref_002","doi-asserted-by":"crossref","unstructured":"F. Black and M. Scholes,\nThe pricing of options and corporate liabilities,\nJ. Polit. Econ. 81 (1973), no. 3, 637\u2013654.","DOI":"10.1086\/260062"},{"key":"2024022618254280942_j_mcma-2023-2014_ref_003","doi-asserted-by":"crossref","unstructured":"J. C. Cox, S. A. Ross and M. Rubinstein,\nOption pricing: A simplified approach,\nJ. Financ. Econ. 7 (1979), no. 3, 229\u2013263.","DOI":"10.1016\/0304-405X(79)90015-1"},{"key":"2024022618254280942_j_mcma-2023-2014_ref_004","unstructured":"J. C. Cox and M. Rubinstein,\nOptions Markets,\nPrentice-Hall, Englewood Cliffs, 1985."},{"key":"2024022618254280942_j_mcma-2023-2014_ref_005","doi-asserted-by":"crossref","unstructured":"N. Halidias,\nOn the practical point of view of option pricing,\nMonte Carlo Methods Appl. 28 (2022), no. 4, 307\u2013318.","DOI":"10.1515\/mcma-2022-2122"},{"key":"2024022618254280942_j_mcma-2023-2014_ref_006","unstructured":"J. Hull,\nOptions, Futures and other Derivatives,\nPearson Education, London, 2022."},{"key":"2024022618254280942_j_mcma-2023-2014_ref_007","doi-asserted-by":"crossref","unstructured":"W. Margrabe,\nThe value of an option to exchange one asset for another,\nJ. Finance 33 (1978), 177\u2013186.","DOI":"10.1111\/j.1540-6261.1978.tb03397.x"},{"key":"2024022618254280942_j_mcma-2023-2014_ref_008","doi-asserted-by":"crossref","unstructured":"M. Musiela and M. Rutkowski,\nMartingale Methods in Financial Modelling, 2nd ed.,\nStoch. Model. Appl. Probab. 36,\nSpringer, Berlin, 2005.","DOI":"10.1007\/b137866"},{"key":"2024022618254280942_j_mcma-2023-2014_ref_009","doi-asserted-by":"crossref","unstructured":"Y. Tian,\nA flexible binomial option pricing model,\nJ. Futures Markets 19 (1999), no. 7, 817\u2013843.","DOI":"10.1002\/(SICI)1096-9934(199910)19:7<817::AID-FUT5>3.0.CO;2-D"}],"container-title":["Monte Carlo Methods and Applications"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2023-2014\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2023-2014\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,2,26]],"date-time":"2024-02-26T18:25:53Z","timestamp":1708971953000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2023-2014\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,10,24]]},"references-count":9,"journal-issue":{"issue":"1","published-online":{"date-parts":[[2024,3,1]]},"published-print":{"date-parts":[[2024,3,1]]}},"alternative-id":["10.1515\/mcma-2023-2014"],"URL":"https:\/\/doi.org\/10.1515\/mcma-2023-2014","relation":{},"ISSN":["0929-9629","1569-3961"],"issn-type":[{"type":"print","value":"0929-9629"},{"type":"electronic","value":"1569-3961"}],"subject":[],"published":{"date-parts":[[2023,10,24]]}}}