English, Article edition: AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY SIU-AH NG

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Bookmark: http://trove.nla.gov.au/version/82963
Physical Description
  • article
Language
  • English

Edition details

Title
  • AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY
Author
  • SIU-AH NG
Physical Description
  • article
Notes
  • The paradox of the Stop-Loss-Start-Gain trading strategy is resolved by showing that along the hyperfinite timeline the strategy incurs infinitesimal losses summing up to a non-infinitesimal amount. As a consequence, the BlackâScholes formula is derived using only hyperreal arithmetic and Riemann sum, probably the most elementary derivation thus far.
  • Nonstandard analysis, infinitesimal, hyperreal, stop-loss-start-gain, BlackâScholes, asset pricing
  • RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:623-633
Language
  • English
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