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This paper considers a generalised approach to the problem of rational value calculation of European options. A distinctive feature of the suggested approach is a rejection of the base asset market being described by means of standard price formation models. Only a relatively weak hypothesis connecting the base asset value with the market activity is imposed on the base asset behaviour. A generalised formula derived from this assumption describes in practice the behaviour of all options. By Vitaly Kurbakovsky and Dmitry Bourtov.

A generalised formula for European option values as the basis for an automated arbitrage strategy

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