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

Voir la notice de l'article provenant de la source eLibrary of Mathematical Institute of the Serbian Academy of Sciences and Arts

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 
@article{10_2298_PIM0693065O,
     author = {E. Omey and S. Van Gulck},
     title = {Markovian {Black} and {Scholes}},
     journal = {Publications de l'Institut Math\'ematique},
     pages = {65 },
     publisher = {mathdoc},
     volume = {_N_S_79},
     number = {93},
     year = {2006},
     doi = {10.2298/PIM0693065O},
     zbl = {1121.60080},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/PIM0693065O/}
}
TY  - JOUR
AU  - E. Omey
AU  - S. Van Gulck
TI  - Markovian Black and Scholes
JO  - Publications de l'Institut Mathématique
PY  - 2006
SP  - 65 
VL  - _N_S_79
IS  - 93
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.2298/PIM0693065O/
DO  - 10.2298/PIM0693065O
LA  - en
ID  - 10_2298_PIM0693065O
ER  - 
%0 Journal Article
%A E. Omey
%A S. Van Gulck
%T Markovian Black and Scholes
%J Publications de l'Institut Mathématique
%D 2006
%P 65 
%V _N_S_79
%N 93
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.2298/PIM0693065O/
%R 10.2298/PIM0693065O
%G en
%F 10_2298_PIM0693065O
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. http://geodesic.mathdoc.fr/articles/10.2298/PIM0693065O/

Cité par Sources :