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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 173–184 (Mi tm329)  
This article is cited in 2 scientific papers (total in 2 papers)

Financial Market with Interacting Assets. Pricing Barrier Options

S. A. Albeverioa, V. R. Steblovskayab

a University of Bonn, Institute for Applied Mathematics
b Bentley College
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Abstract: A new model of a financial market with several interacting assets is introduced and developed. The mutual interaction of asset prices is described by a general multidimensional linear stochastic differential equation with multiplicative noise. The non-arbitrage and completeness conditions for the model are studied in detail. As an application, the pricing of the outside barrier options and of the floating barrier options based on a 2-dimensional version of the model is considered.
Received in December 2000
Bibliographic databases:
UDC: 519.2+519.8
Language: English
Citation: S. A. Albeverio, V. R. Steblovskaya, “Financial Market with Interacting Assets. Pricing Barrier Options”, Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 173–184; Proc. Steklov Inst. Math., 237 (2002), 164–175
Citation in format AMSBIB
\Bibitem{AlbSte02}
\by S.~A.~Albeverio, V.~R.~Steblovskaya
\paper Financial Market with Interacting Assets. Pricing Barrier Options
\inbook Stochastic financial mathematics
\bookinfo Collected papers
\serial Trudy Mat. Inst. Steklova
\yr 2002
\vol 237
\pages 173--184
\publ Nauka, MAIK «Nauka/Inteperiodika»
\publaddr M.
\mathnet{http://mi.mathnet.ru/tm329}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1976513}
\zmath{https://zbmath.org/?q=an:1113.91316}
\transl
\jour Proc. Steklov Inst. Math.
\yr 2002
\vol 237
\pages 164--175
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    • This publication is cited in the following 2 articles:
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