Please use this identifier to cite or link to this item: 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)

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