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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.
ISSN: 0204-9805
Appears in Collections:2007 Volume 18

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