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Avtomatika i Telemekhanika, 2018, Issue 4, Pages 123–137 (Mi at14674)  
This article is cited in 1 scientific paper (total in 1 paper)

Control in Social Economic Systems

On computing the price of financial instruments in foreign currency

R. V. Ivanov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
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Abstract: We derive analytic formulas for the prices of financial instruments in foreign currency within the framework of a stochastic model defined as the sum of a variance gamma and a Poisson process. We obtain our results for various types of dependencies in the model. The resulting formulas contain values of hypergeometric functions. Practical applications of our results include control over the activity of investors in financial markets.
Keywords: variance gamma process, call option, Poisson process, price of derivative, hypergeometric function.
Presented by the member of Editorial Board: B. M. Miller

Received: 20.02.2017
English version:
Automation and Remote Control, 2018, Volume 79, Issue 4, Pages 679–690
DOI: https://doi.org/10.1134/S0005117918040094
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: R. V. Ivanov, “On computing the price of financial instruments in foreign currency”, Avtomat. i Telemekh., 2018, no. 4, 123–137; Autom. Remote Control, 79:4 (2018), 679–690
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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