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http://hdl.handle.net/123456789/1963
Title: | Calculation of Option Prices Using Methods of Spectral Analysis |
Authors: | Буртняк, Іван Володимирович Малицька, Ганна Петрівна |
Keywords: | stochastic volatility, local volatility, spectral theory, singular wave theory, regular wave theory |
Issue Date: | 11-Jun-2013 |
Abstract: | The article develops a systematic method of calculation of an approximate price for a wide range of securities with the help of instruments of spectral analysis, singular and regular wave theory. Price of options depend on stochastic volatility, which depends on a method. Finding the price is reduced to solution of a problem of finding own values and own functions of a specific equation. |
URI: | http://hdl.handle.net/123456789/1963 |
Appears in Collections: | Статті та тези (ЕФ) |
Files in This Item:
File | Description | Size | Format | |
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business-inform-2013-4_0-pages-152_157.pdf | 5.08 MB | Adobe PDF | View/Open |
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