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}},
     journal = {Publications de l'Institut Math\'ematique},
     pages = {65 },
     year = {2006},
     volume = {_N_S_79},
     number = {93},
     doi = {10.2298/PIM0693065O},
     zbl = {1121.60080},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/PIM0693065O/}
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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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