Geodesic
Financial Market with Interacting Assets. Pricing Barrier Options
Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 173-184

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

A new model of a financial market with several interacting assets is introduced and developed. The mutual interaction of asset prices is described by a general multidimensional linear stochastic differential equation with multiplicative noise. The non-arbitrage and completeness conditions for the model are studied in detail. As an application, the pricing of the outside barrier options and of the floating barrier options based on a 2-dimensional version of the model is considered. 
@article{TRSPY_2002_237_a7,
     author = {S. A. Albeverio and V. R. Steblovskaya},
     title = {Financial {Market} with {Interacting} {Assets.} {Pricing} {Barrier} {Options}},
     journal = {Informatics and Automation},
     pages = {173--184},
     publisher = {mathdoc},
     volume = {237},
     year = {2002},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a7/}
}
TY  - JOUR
AU  - S. A. Albeverio
AU  - V. R. Steblovskaya
TI  - Financial Market with Interacting Assets. Pricing Barrier Options
JO  - Informatics and Automation
PY  - 2002
SP  - 173
EP  - 184
VL  - 237
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a7/
LA  - en
ID  - TRSPY_2002_237_a7
ER  - 
%0 Journal Article
%A S. A. Albeverio
%A V. R. Steblovskaya
%T Financial Market with Interacting Assets. Pricing Barrier Options
%J Informatics and Automation
%D 2002
%P 173-184
%V 237
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a7/
%G en
%F TRSPY_2002_237_a7
S. A. Albeverio; V. R. Steblovskaya. Financial Market with Interacting Assets. Pricing Barrier Options. Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 173-184. http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a7/