BulDML at Institute of Mathematics and Informatics: Option Pricing by Branching Process

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BulDML at Institute of Mathematics and Informatics >
IMI >
IMI Periodicals >
Pliska Studia Mathematica Bulgarica >
2007 Volume 18 >

Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/2258

Title:	Option Pricing by Branching Process
Authors:	Mitov, Georgi Mitov, Kosto
Keywords:	Branching process Galton-Watson process Geometric distribution Option pricing Stock-price process
Issue Date:	2007
Publisher:	Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:	Pliska Studia Mathematica Bulgarica, Vol. 18, No 1, (2007), 213p-224p
Abstract:	The randomly indexed Galton-Watson branching process has been used for the model of daily stock prices. Using this stock price process we derive a new formula for the price of European call options.
Description:	2000 Mathematics Subject Classification: 60J80, 62P05.
URI:	http://hdl.handle.net/10525/2258
ISSN:	0204-9805
Appears in Collections:	2007 Volume 18

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