A new logistic-type model for pricing European options
نویسندگان
چکیده
منابع مشابه
A new logistic-type model for pricing European options
We propose a family of models for the evolution of the price process [Formula: see text] of a financial market. We model share price and volatility using a two-dimensional system of stochastic differential equations (SDEs) driven by a single Wiener process. We prove that this family of models is well defined and that each model from this family is free of arbitrage opportunities, and it is (sta...
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ژورنال
عنوان ژورنال: SpringerPlus
سال: 2015
ISSN: 2193-1801
DOI: 10.1186/s40064-015-1563-9