Ценообразование опционов на основе модели геометрического случайного блуждания в случайной среде
Copyright policy )Ценообразование опционов на основе модели геометрического случайного блуждания в случайной среде
On sideways market log-returns are not normally distributed and the Black-Scholes model gives wrong value of option. In this paper we present a stochastic model of financial time series takes account of 'memory effect' in evolution of assets prices, which have been applied to an estimation of the premium for European call option.
Построена стохастическая модель финансового временного ряда без линейного сноса, позволяющая учитывать эффект памяти в изменениях цен финансовых активов, и получена формула для оценки премии европейского колл-опциона.
ЦЕНООБРАЗОВАНИЕ ОПЦИОНОВ,ГЕОМЕТРИЧЕСКОЕ СЛУЧАЙНОЕ БЛУЖДАНИЕ В СЛУЧАЙНОЙ СРЕДЕ,ПРЕДЕЛЬНОЕ РАСПРЕДЕЛЕНИЕ
ЦЕНООБРАЗОВАНИЕ ОПЦИОНОВ,ГЕОМЕТРИЧЕСКОЕ СЛУЧАЙНОЕ БЛУЖДАНИЕ В СЛУЧАЙНОЙ СРЕДЕ,ПРЕДЕЛЬНОЕ РАСПРЕДЕЛЕНИЕ
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