Analog of the black-scholes formula for option pricing under conditions of (b, s, x)-incomplete market of securities with jumps
From MaRDI portal
Publication:2722131
DOI10.1007/BF02513144zbMath0971.60069MaRDI QIDQ2722131
A. V. Kalemanova, D. G. Zhuravyts'Kyj, Anatoliy Swishchuk
Publication date: 11 July 2001
Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)
Continuous-time Markov processes on general state spaces (60J25) Stochastic models in economics (91B70) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
The pricing of options for securities markets with delayed response ⋮ Numerical methods for backward Markov chain driven Black-Scholes option pricing
This page was built for publication: Analog of the black-scholes formula for option pricing under conditions of (b, s, x)-incomplete market of securities with jumps
