Analog of the black-scholes formula for option pricing under conditions of (<em class="a-plus-plus">B, S, X</em>)-incomplete market of securities with jumps

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


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.
How to Cite
Zhuravyts’kyiD. G., KalemanovaA. V., and SvishchukA. V. “Analog of the Black-Scholes Formula for Option Pricing under Conditions of (<em class="a-Plus-plus">B, S, X</Em&gt;)-Incomplete Market of Securities With Jumps”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 52, no. 3, Mar. 2000, pp. 424-31,
Research articles