Цінова опція в змінених часом моделях Леві зі складними стрибками Пуассона.
"The problem of European-style option pricing in time-changed Levy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits. As the time-changed Levy models, the variance-gamma and the normal-inverse Gaussian models are discussed. Exact formulas are given for the price of digital asset-or-nothing call option on extra asset in foreign currency. The prices of simpler options can be derived as corollaries of our results and examples are presented. Various types of dependencies between stock prices are mentioned".
З 31.12.2014 по 01.03.2015 Наукова бібліотека читачів не обслуговує.
