Modern approaches to appraisal of options
Keywords:
option, Black-Scholes-Merton model, binomial model, risk-neutral estimation of price, econometric model of B, S-market, risk-trend estimation of price, model of distributed volatility, risk-predictor estimation.
Abstract
Development of mathematical mechanism used to solve the problems of price formation of option is analyzed in the article. Main result of the work is synthesis of the newest research in assessing the value of options based on the application of econometric methods, causing not only the correctness of the formal description of the reality of the financial market, but its adequacy.Downloads
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Published
2015-04-19
How to Cite
Федосеев, А. М., & Коротких, В. В. (2015). Modern approaches to appraisal of options. Modern Economics: Problems and Solutions, 3, 162-170. Retrieved from https://journals.vsu.ru/meps/article/view/4675
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