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- Title
RAZVOJNI 11 - RAZVOJNI MODEL TRŽIŠTA DIONICA.
- Authors
Smajlović, Lejla; Sćeta, Lamija
- Abstract
We introduce the Black-Scholes-Merton's market model in continuous time and derive the Black-Scholes formula for European call options price. Then, we describe evolutionary and λ-evolutionary market model in continuous time and show that they improve and generalize the Black-Scholes-Merton's model. Moreover, λ-evolutionary model of Black-Scholes-Merton in continuous time is described and self-finansing investment strategy is developed for this model. In the last chapter, Black-Scholes formula for European call options price is derived for λ-evolutionary model of Black-Scholes-Merton. Finally, applications of concepts of quadratic λ-variation and p-variation of a stohastic processes in further development of market model generalizations are indicated.
- Subjects
EUROPE; INVESTMENTS; OPTIONS (Finance); PRICES; STOCK exchanges
- Publication
Zbornik Radova, 2010, Issue 30, p460
- ISSN
0581-7439
- Publication type
Article