Journal of Automation and Information Sciences
Published 12 issues per year
ISSN Print: 1064-2315
ISSN Online: 2163-9337
SJR:
0.173
SNIP:
0.588
CiteScore™::
2
Indexed in
Generalization of Black-Sholes Model
Volume 36,
Issue 6, 2004,
pp. 57-63
DOI: 10.1615/JAutomatInfScien.v36.i6.70
ABSTRACT
The model of risky asset price dynamics via geometric Wiener and Levi processes is proposed. The complete theory of option contracts is developed for such a model. The formulae for calculating the fair option pricing, the investor capital evolution and investment portfolio are given.
CITED BY
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HIROSE Miyuki, MUKAI Tohru, SHIMURA Tsuyoshi, YAMAMOTO Jun, IIDA Kohji, Measurements of Specific Density of and Sound Speed in Nomura's Jellyfish Nemopilema nomurai to Estimate their Target Strength using a Theoretical Scattering Model, The Journal of the Marine Acoustics Society of Japan, 34, 2, 2007. Crossref
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