A refinement of the black-scholes formula of pricing options

被引：5
|
作者：
Trenev N.N. [1 ]
机构：
[1] Ctrl. Economic-Math. Institute, Russian Academy of Sciences, Moscow
来源：
Cybernetics and Systems Analysis | 2001年 / 37卷 / 6期
关键词：
Black-scholes formula; Exact formula for pricing options; Pricing of options;
D O I：
10.1023/A:1014542217599
中图分类号：
学科分类号：
摘要：
A central problem of actuarial mathematics, i.e., the problem of pricing options (documents of a certain form that grant rights to buy or sell securities in the future), is considered. Tlie well-known Black-Scholes approximate formula for pricing options is refined. ©2001 Plenum Publishing Corporation.
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页码：911 / 917
页数：6
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