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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 173–184
(Mi tm329)
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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
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
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
Linking options:
https://www.mathnet.ru/eng/tm329 https://www.mathnet.ru/eng/tm/v237/p173
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Abstract page: | 341 | Full-text PDF : | 142 | References: | 54 |
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