Geodesic
An analysis of modifications of the Black-Scholes model of the dynamics of the pricing of financial derivatives
Sibirskij žurnal industrialʹnoj matematiki, Tome 10 (2007) no. 2, pp. 110-118.

Voir la notice de l'article provenant de la source Math-Net.Ru

@article{SJIM_2007_10_2_a11,
     author = {I. E. Poloskov},
     title = {An analysis of modifications of the {Black-Scholes} model of the dynamics of the pricing of financial derivatives},
     journal = {Sibirskij \v{z}urnal industrialʹnoj matematiki},
     pages = {110--118},
     publisher = {mathdoc},
     volume = {10},
     number = {2},
     year = {2007},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJIM_2007_10_2_a11/}
}
TY  - JOUR
AU  - I. E. Poloskov
TI  - An analysis of modifications of the Black-Scholes model of the dynamics of the pricing of financial derivatives
JO  - Sibirskij žurnal industrialʹnoj matematiki
PY  - 2007
SP  - 110
EP  - 118
VL  - 10
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/SJIM_2007_10_2_a11/
LA  - ru
ID  - SJIM_2007_10_2_a11
ER  - 
%0 Journal Article
%A I. E. Poloskov
%T An analysis of modifications of the Black-Scholes model of the dynamics of the pricing of financial derivatives
%J Sibirskij žurnal industrialʹnoj matematiki
%D 2007
%P 110-118
%V 10
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/item/SJIM_2007_10_2_a11/
%G ru
%F SJIM_2007_10_2_a11
I. E. Poloskov. An analysis of modifications of the Black-Scholes model of the dynamics of the pricing of financial derivatives. Sibirskij žurnal industrialʹnoj matematiki, Tome 10 (2007) no. 2, pp. 110-118. http://geodesic.mathdoc.fr/item/SJIM_2007_10_2_a11/

[1] Medvedev G. A., Matematicheskie osnovy finansovoi ekonomiki, Ch. 1. Ucheb. posobie, NMTs “Elektronnaya kniga BGU”, Minsk, 2003

[2] Shiryaev A. N., Osnovy stokhasticheskoi finansovoi matematiki, T. 1, 2, FAZIS, M., 1998

[3] Black F., Scholes M., “The pricing of options and corporate liabilities”, J. Polit. Economy, 81 (1973), 637–654 | DOI | Zbl

[4] Merton R., “Theory of rational option pricing”, Bell J. Economics and Management Sci., 4 (1973), 141–183 | DOI | MR

[5] Tikhonov V. I., Mironov M. A., Markovskie protsessy, Sov. radio, M., 1977 | MR | Zbl

[6] Azbelev N. V., Maksimov V. P., Rakhmatullina L. F., Vvedenie v teoriyu funktsionalno-differentsialnykh uravnenii, Nauka, M., 1991 | MR | Zbl

[7] Poloskov I. E., “Rasshirenie fazovogo prostranstva v zadachakh analiza differentsialno-raznostnykh sistem so sluchainym vkhodom”, Avtomatika i telemekhanika, 2002, no. 9, 58–73 | MR | Zbl