Formalizing the Cox–Ross–Rubinstein Pricing of European Derivatives in Isabelle/HOL-Reference-Cited by-同舟云学术

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Formalizing the Cox–Ross–Rubinstein Pricing of European Derivatives in Isabelle/HOL

Published:2019-07-04 Issue:4 Volume:64 Page:737-765
ISSN:0168-7433
Container-title:Journal of Automated Reasoning
language:en
Short-container-title:J Autom Reasoning

Author:

Echenim Mnacho^ORCID,Guiol Hervé,Peltier Nicolas

Publisher

Springer Science and Business Media LLC

Subject

Artificial Intelligence,Computational Theory and Mathematics,Software

Link

http://link.springer.com/content/pdf/10.1007/s10817-019-09528-w.pdf

Reference23 articles.

1. Avigad, J., Hölzl, J., Serafin, L.: A formally verified proof of the Central Limit Theorem. J. Autom. Reason. 59(4), 389–423 (2017)

2. Ballarin, C.: Locales: a module system for mathematical theories. J. Autom. Reason. 52(2), 123–153 (2014)

3. Bingham, N.H., Kiesel, R.: Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives. Springer-Verlag, London (2004)

4. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81(3), 637–654 (1973)

5. Blanchette, J.C., Hölzl, J., Lochbihler, A., Panny, L., Popescu, A., Traytel, D.: Truly modular (co)datatypes for Isabelle/HOL. In: Klein, G., Gamboa, R. (eds.) Interactive Theorem Proving—5th International Conference, ITP 2014, Held as Part of the Vienna Summer of Logic, VSL 2014, Vienna, Austria, July 14–17, 2014. Proceedings, volume 8558 of Lecture Notes in Computer Science, pp. 93–110. Springer (2014)

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1. A Formalization of Doob’s Martingale Convergence Theorems in mathlib;Proceedings of the 12th ACM SIGPLAN International Conference on Certified Programs and Proofs;2023-01-11

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