Analog of the black-scholes formula for option pricing under conditions of (B, S, X)-incomplete market of securities with jumps
We describe a (B, S,X )-incomplete market of securities with jumps as a jump random evolution process that is a combination of an ltô process in random Markov medium and a geometric compound Poisson process. For this model, we derive the Black-Scholes equation and formula, which describe the pricing...
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| Datum: | 2000 |
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| Hauptverfasser: | , , , , , |
| Format: | Artikel |
| Sprache: | Russisch Englisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
2000
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| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/4434 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
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Ukrains’kyi Matematychnyi Zhurnal| Zusammenfassung: | We describe a (B, S,X )-incomplete market of securities with jumps as a jump random evolution process that is a combination of an ltô process in random Markov medium and a geometric compound Poisson process. For this model, we derive the Black-Scholes equation and formula, which describe the pricing of the European call option under conditions of (B,S,X)-mcomplete market. |
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