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https://elib.bsu.by/handle/123456789/94580| Title: | Markov-binomial option pricing model |
| Authors: | Radkov, P. Minkova, L. D. |
| Keywords: | ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Информатика |
| Issue Date: | 2010 |
| Publisher: | Minsk: BSU |
| Abstract: | The paper presents a discrete-time model of nancial market, where the risky returns form a two-state Markov chain. The model gives rise to a simple numer- ical procedure for valuing European options. The generalization of the classical Cox-Ross-Rubinstein formula is derived. The price of European call option is estimated by Monte - Karlo simulation. |
| URI: | http://elib.bsu.by/handle/123456789/94580 |
| Appears in Collections: | Section 6. ECONOMETRIC ANALYSIS AND MODELING |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| S10-RadkovMinkova.pdf | 184,98 kB | Adobe PDF | View/Open |
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