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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| Date: | 2000 |
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| Main Authors: | , , , , , |
| Format: | Article |
| Language: | Russian English |
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Institute of Mathematics, NAS of Ukraine
2000
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/4434 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
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Ukrains’kyi Matematychnyi Zhurnal| _version_ | 1860510561861632000 |
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| author | Zhuravyts'kyi, D. G. Kalemanova, A. V. Svishchuk, A. V. Журавицкий, Д. Г. Калеманова, А. В. Свищук, А. В. Журавицкий, Д. Г. Калеманова, А. В. Свищук, А. В. |
| author_facet | Zhuravyts'kyi, D. G. Kalemanova, A. V. Svishchuk, A. V. Журавицкий, Д. Г. Калеманова, А. В. Свищук, А. В. Журавицкий, Д. Г. Калеманова, А. В. Свищук, А. В. |
| author_sort | Zhuravyts'kyi, D. G. |
| baseUrl_str | https://umj.imath.kiev.ua/index.php/umj/oai |
| collection | OJS |
| datestamp_date | 2020-03-18T20:28:54Z |
| description | 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. |
| first_indexed | 2026-03-24T02:58:58Z |
| format | Article |
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| id | umjimathkievua-article-4434 |
| institution | Ukrains’kyi Matematychnyi Zhurnal |
| keywords_txt_mv | keywords |
| language | rus English |
| last_indexed | 2026-03-24T02:58:58Z |
| publishDate | 2000 |
| publisher | Institute of Mathematics, NAS of Ukraine |
| record_format | ojs |
| resource_txt_mv | umjimathkievua/41/706ab78eed17df745d27981580a27941.pdf |
| spelling | umjimathkievua-article-44342020-03-18T20:28:54Z Analog of the black-scholes formula for option pricing under conditions of (B, S, X)-incomplete market of securities with jumps Аналог формули Блека - Шоулса для ціни опціонів $(B, S, X)$-неповних ринків цінних паперів із стрибками Zhuravyts'kyi, D. G. Kalemanova, A. V. Svishchuk, A. V. Журавицкий, Д. Г. Калеманова, А. В. Свищук, А. В. Журавицкий, Д. Г. Калеманова, А. В. Свищук, А. В. 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. Описано $(B, S, X)$-неповний ринок цінних паперів із стрибками як процес стрибкоподібної випадкової еволюції, що є комбінацією процесу Іто у випадковому марковському середовищі та геометричного складного процесу Пуассона. Для даної моделі виведено рівняння та формулу Блека-Шоулса, що описують ціну Європейського опціону в умовах $(B, S, X)$-неповного ринку. Institute of Mathematics, NAS of Ukraine 2000-03-25 Article Article application/pdf https://umj.imath.kiev.ua/index.php/umj/article/view/4434 Ukrains’kyi Matematychnyi Zhurnal; Vol. 52 No. 3 (2000); 424-431 Український математичний журнал; Том 52 № 3 (2000); 424-431 1027-3190 rus en https://umj.imath.kiev.ua/index.php/umj/article/view/4434/5572 https://umj.imath.kiev.ua/index.php/umj/article/view/4434/5573 Copyright (c) 2000 Zhuravyts'kyi D. G.; Kalemanova A. V.; Svishchuk A. V. |
| spellingShingle | Zhuravyts'kyi, D. G. Kalemanova, A. V. Svishchuk, A. V. Журавицкий, Д. Г. Калеманова, А. В. Свищук, А. В. Журавицкий, Д. Г. Калеманова, А. В. Свищук, А. В. Analog of the black-scholes formula for option pricing under conditions of (B, S, X)-incomplete market of securities with jumps |
| title | Analog of the black-scholes formula for option pricing under conditions of (B, S, X)-incomplete market of securities with jumps |
| title_alt | Аналог формули Блека - Шоулса для ціни опціонів $(B, S, X)$-неповних ринків цінних паперів із стрибками |
| title_full | Analog of the black-scholes formula for option pricing under conditions of (B, S, X)-incomplete market of securities with jumps |
| title_fullStr | Analog of the black-scholes formula for option pricing under conditions of (B, S, X)-incomplete market of securities with jumps |
| title_full_unstemmed | Analog of the black-scholes formula for option pricing under conditions of (B, S, X)-incomplete market of securities with jumps |
| title_short | Analog of the black-scholes formula for option pricing under conditions of (B, S, X)-incomplete market of securities with jumps |
| title_sort | analog of the black-scholes formula for option pricing under conditions of (b, s, x)-incomplete market of securities with jumps |
| url | https://umj.imath.kiev.ua/index.php/umj/article/view/4434 |
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