Pricing of the options of European type with account of the correlation of the price increase
It is shown that the Black-Sholes formula for the price of the options of European type is true for a more general model than the Samuelson model.
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Authors
| Name | Organization | |
| Kalashnikova Tatyana V. | Tomsk State University of Control Systems and Radioelectronics | |
| Terpugov Alexander F. | Tomsk State University | terpugov@fpmk.tsu.tomsk.su |
References
F. Black,, М. Scholes. The pricing of options and corporate liabilities//Journal of political economy. 1973. Vol. 81. № 3. P. 637-659.
Ширяев Л. H. Основы стохастической финансовой математики. Том I. Факты и модели. М.: Фазис, 1998. 489 с.
