OPTION PRICE FOR BACHELIER MODEL WITH CONSTRAINTS
Journal Title: Інфраструктура ринку - Year 2018, Vol 19, Issue
Abstract
A method of determination of solutions of stochastic equation in financial models with a given boundary conditions was developed. The method is based on Fokker–Planck equation for conditional probability density that corresponds to stochastic equation. The built solutions for conditional probability density satisfy zero probability flow at the boundaries. By means of substitution the problem was reduced to building solutions with Neumann boundary condition for which a well-known methods of mathematical physics were used. The algorithm considered here is demonstrated on the example of Bachelier model for assets pricing. The European option call prices was etermined. Comparisons with a known results were carried out.
Authors and Affiliations
V. S. Yanishevsky
Keywords
Related Articles
- EP ID EP665613
- DOI -
- Views 130
- Downloads 0
ІНСТИТУЦІОНАЛЬНІ ОСНОВИ УПРАВЛІННЯ ТА ОЦІНКИ ЗЕМЕЛЬ ПРОМИСЛОВОСТІ УКРАЇНИ
Стаття розглядає інституціональні основи управління землями промисловості шляхом формування інституту земель промисло- вості. Категорія земель промисловості створена давно і входить до складу самої різнобічної категорії:...
STATE AND BUSINESS: TARGET MANAGEMENT AND CHARACTER OF INTERACTION
The article deals with theoretical questions of interaction between the state and business. The authors systematize the sphere of state influence on business, determine the main forms of their partnership and models of i...
A PROCESS APPROACH TO MANAGEMENT AS A TOOL FOR INCREASING THE OPERATING EFFICIENCY OF THE ENTERPRISE
The article deals with the nature of the process approach to management of enterprises. The comparative characteristics of the process approach with a functional approach to business management. Shows and reasonable bene...
THE CONTENT OF ACCOUNTING AND CONTROL SUPPLY OF MANAGEMENT OF ENTERPRISES BUSINESS ACTIVITIES
The article studies the essence and significance of the accounting and control supplying of the management enterprises in the modern conditions. The system-forming elements of accounting and control equipment are determi...
ASSESSMENT OF DEVELOPMENT OF ICT SECTOR OF UKRAINE
The article studies dynamics of development of ICT sector of Ukraine; assessment of the level of innovative development is made based on statistics of activity of enterprises, forming its structure. Conclusions on the le...