Умови рівноваги для європейського опціону
The article deals with the Black-Scholes model where parameters depend on the time and the environmental state, conditions under which the fair price of an option before and after averaging coincide are considered. Furthermore, the main mathematical characteristics for the fair price of the European...
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| Datum: | 2014 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Кам'янець-Подільський національний університет імені Івана Огієнка
2014
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| Online Zugang: | http://mcm-math.kpnu.edu.ua/article/view/37661 |
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| Назва журналу: | Mathematical and computer modelling. Series: Physical and mathematical sciences |
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Mathematical and computer modelling. Series: Physical and mathematical sciences| Zusammenfassung: | The article deals with the Black-Scholes model where parameters depend on the time and the environmental state, conditions under which the fair price of an option before and after averaging coincide are considered. Furthermore, the main mathematical characteristics for the fair price of the European call option under the finite discrete-time homogenous Markov chain process are given. |
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