Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Back to basics: historical option pricing revisited   We reconsider the problem of option pricing using historical probability
distributions. We first discuss how the risk-minimisation scheme proposed
recently is an adequate starting point under the realistic assumption that
price increments are uncorrelated (but not necessarily independent) and of
arbitrary probability density. We discuss in particular how, in the Gaussian
limit, the Black-Scholes results are recovered, including the fact that the
average return of the underlying stock disappears from the price (and the
hedging strategy). We compare this theory to real option prices and find these
reflect in a surprisingly accurate way the subtle statistical features of the
underlying asset fluctuations.

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The categories of this paper are: nucl-th
9
The categories of this paper are: nlin
33
The categories of this paper are: plasm-ph
11
The categories of this paper are: hep-lat
27
The categories of this paper are: comp-gas
6
The categories of this paper are: astro-ph
25
The categories of this paper are: patt-sol
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The categories of this paper are: dg-ga
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The categories of this paper are: hep-th
1
The categories of this paper are: cs
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The categories of this paper are: stat
35
The categories of this paper are: mtrl-th
3
The categories of this paper are: physics
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The categories of this paper are: adap-org
15
The categories of this paper are: nucl-ex
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The categories of this paper are: solv-int