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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 wel...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2015
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4673083/ https://www.ncbi.nlm.nih.gov/pubmed/26682115 http://dx.doi.org/10.1186/s40064-015-1563-9 |