Geodesic
Markovian Black and Scholes
Publications de l'Institut Mathématique, _N_S_79 (2006) no. 93, p. 65

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We generalize the classical binomial approach of the model of Black and Scholes to a Markov binomial approach. This leads to a new formula for the cost of an option.
DOI : 10.2298/PIM0693065O
Classification : 60J20 62P05, 91B28 
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     title = {Markovian {Black} and {Scholes}},
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E. Omey; S. Van Gulck. Markovian Black and Scholes. Publications de l'Institut Mathématique, _N_S_79 (2006) no. 93, p. 65 . doi: 10.2298/PIM0693065O

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