EMIS ELibM Electronic Journals PUBLICATIONS DE L'INSTITUT MATHEMATIQUE (BEOGRAD) (N.S.)
Vol. 79(93), pp. 65–72 (2006)

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MARKOVIAN BLACK AND SCHOLES

E. Omey and S. Van Gulck

EHSAL, Stormstraat 2, 1000 Brussels, Belgium

Abstract: We generalize the classical binomial approach of the model of Black and Scholes to a Markov binomial approach. This leads to a new formula for the cost of an option.

Classification (MSC2000): 60J20; 62P05; 91B28

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Electronic fulltext finalized on: 10 Oct 2006. This page was last modified: 27 Oct 2006.

© 2006 Mathematical Institute of the Serbian Academy of Science and Arts
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