Formalizing the Cox-Ross-Rubinstein pricing of European derivatives in Isabelle/HOL.
Mnacho EchenimHervé GuiolNicolas PeltierPublished in: CoRR (2018)
Keyphrases
- theorem prover
- natural deduction
- inference rules
- theorem proving
- first order logic
- higher order
- higher order logic
- sequent calculus
- regression model
- cut elimination
- eu funded
- regression analysis
- directional derivatives
- convertible bonds
- summer school
- european project
- mechanism design
- dynamic pricing
- knowledge based systems
- probability distribution