Option Pricing by Branching Process
| Data(s) |
23/01/2014
23/01/2014
2007
|
|---|---|
| Resumo |
2000 Mathematics Subject Classification: 60J80, 62P05. The randomly indexed Galton-Watson branching process has been used for the model of daily stock prices. Using this stock price process we derive a new formula for the price of European call options. This paper is partially supported by NSF of Bulgaria, Grant No VU-MI-105/2005. |
| Identificador |
Pliska Studia Mathematica Bulgarica, Vol. 18, No 1, (2007), 213p-224p 0204-9805 |
| Idioma(s) |
en |
| Publicador |
Institute of Mathematics and Informatics Bulgarian Academy of Sciences |
| Palavras-Chave | #Branching process #Galton-Watson process #Geometric distribution #Option pricing #Stock-price process |
| Tipo |
Article |
