2019
Том 71
№ 8

All Issues

Kalemanova A. V.

Articles: 1
Article (Russian)

Analog of the black-scholes formula for option pricing under conditions of (B, S, X)-incomplete market of securities with jumps

Kalemanova A. V., Svishchuk A. V., Zhuravyts'kyi D. G.

↓ Abstract   |   Full text (.pdf)

Ukr. Mat. Zh. - 2000. - 52, № 3. - pp. 424-431

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.