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Journal of Automation and Information Sciences

Publicado 12 números por año

ISSN Imprimir: 1064-2315

ISSN En Línea: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

Generalization of Black-Sholes Model

Volumen 36, Edición 6, 2004, pp. 57-63
DOI: 10.1615/JAutomatInfScien.v36.i6.70
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SINOPSIS

The model of risky asset price dynamics via geometric Wiener and Levi processes is proposed. The complete theory of option contracts is developed for such a model. The formulae for calculating the fair option pricing, the investor capital evolution and investment portfolio are given.

CITADO POR
  1. HIROSE Miyuki, MUKAI Tohru, SHIMURA Tsuyoshi, YAMAMOTO Jun, IIDA Kohji, Measurements of Specific Density of and Sound Speed in Nomura's Jellyfish Nemopilema nomurai to Estimate their Target Strength using a Theoretical Scattering Model, The Journal of the Marine Acoustics Society of Japan, 34, 2, 2007. Crossref

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