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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
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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
  1. 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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