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Conditions of equilibrium for european option
Ivan Franko National University of Lviv, Lviv, Ukraine.
School of Economics and Management, Lund University, Lund, Sweden.
2014 (English)In: Mathematical and Computer Modelling, Series: Physical & Mathematical Sciences, ISSN 2308-5878, Vol. 11, p. 114-121Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Kamianets-Podilsky, Ukraine: Kamianets-Podilsky National Ivan Ohienko University , 2014. Vol. 11, p. 114-121
Keywords [en]
option, fair price, Black-Scholes model, Markov chain, stationary distribution, switching probability
National Category
Probability Theory and Statistics
Research subject
Mathematics
Identifiers
URN: urn:nbn:se:oru:diva-54855OAI: oai:DiVA.org:oru-54855DiVA, id: diva2:1066902
Available from: 2017-01-19 Created: 2017-01-19 Last updated: 2017-10-18Bibliographically approved

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Mazur, Stepan

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CiteExportLink to record
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