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http://inet.vidyasagar.ac.in:8080/jspui/handle/123456789/815| Title: | A New Method for European Option Pricing With Two Stocks |
| Authors: | Sun, Yu-dong Shi, Yi-min |
| Keywords: | European option pricing stochastic dynamic theory Fokker-Planck- Kolmogrov equation |
| Issue Date: | 2010 |
| Publisher: | Vidyasagar University , Midnapore , West-Bengal , India |
| Series/Report no.: | Journal of Physical Science;Vol 14 [2010] |
| Abstract: | Assume that the stock price obey the stochastic differential equation driven by Brownian motion, European option pricing with two stocks is considered by using stochastic dynamic theory at first time. The density function of stock process is obtained by using Fokker-Planck-Kolmogrov equation. Then, the price explicit expression of the European option is given. It provides a new method for European option pricing. |
| Description: | 165-171 |
| URI: | http://inet.vidyasagar.ac.in:8080/jspui/handle/123456789/815 |
| ISSN: | 0972-8791 (Print) |
| Appears in Collections: | Journal of Physical Sciences Vol.14 [2010] |
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