Adaptive model-building of (B,S)-market

Authors

  • Валерий Владимирович Давнис Voronezh State University image/svg+xml
  • Александр Михайлович Федосеев Voronezh State University image/svg+xml

Keywords:

econometrical model of (B, S)-market, adaptive modelbuilding, risk-neutral price of the option, risk-trend price of the option

Abstract

Basic ideas and stages of adaptive model-building of (B,S)-market are described. Adaptive model unlike the Cox-Ross-Rubinstein and its economical variant at the same time reflects the nature of price evolution of basic asset and mechanism of trade of options on exchange.

References

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Published

2015-04-22

Issue

Vol. 6 (2011): june

Section

Статьи

How to Cite

Adaptive model-building of (B,S)-market. (2015). Modern Economics: Problems and Solutions, 6, 202-213. https://journals.vsu.ru/meps/article/view/7558