46481

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

On computing the price of financial instruments in foreign currency

Наименование источника: 

  • Automation and Remote Control

Обозначение и номер тома: 

Т. 79, № 4

Город: 

  • Moscow

Издательство: 

  • Pleiades Publishing, Ltd

Год издания: 

2018

Страницы: 

679-690
Аннотация
We derive analytic formulas for the prices of financial instruments in foreign currency within the framework of a stochastic model defined as the sum of a variance gamma and a Poisson process. We obtain our results for various types of dependencies in the model. The resulting formulas contain values of hypergeometric functions. Practical applications of our results include control over the activity of investors in financial markets.

Библиографическая ссылка: 

Иванов Р.В. On computing the price of financial instruments in foreign currency // Automation and Remote Control. 2018. Т. 79, № 4. С. 679-690.