All issues
- 2024 Vol. 16
- 2023 Vol. 15
- 2022 Vol. 14
- 2021 Vol. 13
- 2020 Vol. 12
- 2019 Vol. 11
- 2018 Vol. 10
- 2017 Vol. 9
- 2016 Vol. 8
- 2015 Vol. 7
- 2014 Vol. 6
- 2013 Vol. 5
- 2012 Vol. 4
- 2011 Vol. 3
- 2010 Vol. 2
- 2009 Vol. 1
Statistically fair price for the European call options according to the discreet mean/variance model
pdf (624K)
/ Annotation
List of references:
- Применение континуального критерия VAR на финансовых рынках. — Москва: ВЦ РАН, 2011. .
- Восстановление поверхности волатильности биржевых опционов помощью индуктивно-порождаемых моделей // Машинное обучение и анализ данных. — 2011. — Т. 1, № 2. — С. 172–182. .
- Современные подходы к определению стоимости опционов // Современная экономика: проблемы и решения. — 2010. — Т. 3, № 15. — С. 162–170. , .
- Моделирование некоторых задач финансовой математики: оценка спрэд-опциона // Журнал вычислительной математики и математической физики. — 2007. — Т. 47, № 4. — С. 626–637. .
- Investment Reluctance in Supply Chains: An Agent-Based Real Options Approach // Journal of Mathematical Finance. — 2013. — V. 3. — P. 1–10. — DOI: 10.4236/jmf.2013.32A001. , , .
- Mean-variance hedging for interest rate models with stochastic volatility // Decisions in Economics and Finance. — 2002. — V. 25. — P. 1–17. — DOI: 10.1007/s102030200000. — MathSciNet: MR1961218. .
- Mean-variance hedging with random volatility jumps // Stochastic Analysis and Applications. — 2002. — V. 20, no. 3. — P. 471–494. — DOI: 10.1081/SAP-120004112. — MathSciNet: MR1900301. , .
- The pricing of options and corporate liabilities // Journal of Political Economy. — 1973. — V. 81. — P. 637–659. — DOI: 10.1086/260062. — MathSciNet: MR3363443. , .
- Mean-variance hedging and stochastic control: beyond the Brownian setting // IEEE Transactions on Automatic Control. — 2004. — V. 49, no. 3. — P. 396–408. — DOI: 10.1109/TAC.2004.824468. — MathSciNet: MR2062252. , .
- Options on realized variance and convex orders // Quantitative Finance. — 2010. — P. 1–10. — MathSciNet: MR2850996. , , , .
- A Simple Method to Price Window Reset Options // Journal of Mathematical Finance. — 2013. — V. 3. — P. 96–102. — DOI: 10.4236/jmf.2013.31008. .
- Mean variance hedging in continuous time // The Annals of Applied Probability. — 1991. — V. 1, no. 1. — P. 1–15. — DOI: 10.1214/aoap/1177005978. — MathSciNet: MR1097461. , .
- Recent Developments in Option Pricing // Journal of Mathematical Finance. — 2011. — V. 1. — P. 63–71. — DOI: 10.4236/jmf.2011.13009. , , .
- Statistics in Finance. — Arnold, 1998. , .
- Analytical comparisons of option prices in stochastic volatility models // Mathematical Finance1. — 2005. — V. 5, no. 1. — P. 49–59. — DOI: 10.1111/j.0960-1627.2005.00210.x. — MathSciNet: MR2116796. .
- The Mean-Variance Model Revisited with a Cash Account // Journal of Mathematical Finance. — 2012. — V. 2. — P. 43–53. — DOI: 10.4236/jmf.2012.21006. , , .
- On the pricing of contingent claims under constraints // Journal of Applied Probability. — 1996. — V. 6, no. 2. — P. 321–369. — DOI: 10.1214/aoap/1034968135. — MathSciNet: MR1398049. , .
- Portfolio selection // The Journal of Finance. — 1952. — V. 7, no. 1. — P. 77–91. — MathSciNet: MR0103768. .
- Options as a strategic investment: a comprehensive analysis of listed option strategies. — New York Institute of Finance, 1993. .
- Theory of rational option pricing // The Bell Journal of Economics and Management Science. — 1973. — V. 4, no. 2. — P. 141–183. — DOI: 10.2307/3003143. — MathSciNet: MR0496534. .
- Rational theory of warrant pricing // Industrial Management Review. — 1965. — V. 6, no. 2. — P. 13–31. .
- Mathematics of speculative price // SIAM Review. — 1973. — V. 15, no. 1. — P. 369–374. — DOI: 10.1137/1015001. — MathSciNet: MR0323315. .
- Proof that properly discounted present values of assets vibrate randomly // The Bell Journal of Economics and Management Science. — 1973a. — V. 4, no. 2. — P. 369–374. — DOI: 10.2307/3003046. — MathSciNet: MR0329578. .
- Hedging with stock index options: a mean-extended Gini approach // Journal of Mathematical Finance. — 2013. — V. 3. — P. 119–129. — DOI: 10.4236/jmf.2013.31011. — MathSciNet: MR3034079. , .
- Mean-variance hedging for general claims // The Annals of Applied Probability. — 1992. — V. 2, no. 1. — P. 171–179. — DOI: 10.1214/aoap/1177005776. — MathSciNet: MR1143398. .
- On the structure of proper Black-Scholes formulae // Journal of Applied Probability. — 2001. — V. 38(A). — P. 243–248. — DOI: 10.1239/jap/1085496606. — MathSciNet: MR1915789. .
Indexed in Scopus
Full-text version of the journal is also available on the web site of the scientific electronic library eLIBRARY.RU
The journal is included in the Russian Science Citation Index
The journal is included in the RSCI
International Interdisciplinary Conference "Mathematics. Computing. Education"
Copyright © 2009–2024 Institute of Computer Science