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https://ir.vidyasagar.ac.in/jspui/handle/123456789/815Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Sun, Yu-dong | |
| dc.contributor.author | Shi, Yi-min | |
| dc.date.accessioned | 2016-12-22T17:20:39Z | - |
| dc.date.available | 2016-12-22T17:20:39Z | - |
| dc.date.issued | 2010 | |
| dc.identifier.issn | 0972-8791 (Print) | |
| dc.identifier.uri | http://inet.vidyasagar.ac.in:8080/jspui/handle/123456789/815 | - |
| dc.description | 165-171 | en_US |
| dc.description.abstract | Assume that the stock price obey the stochastic differential equation driven by Brownian motion, European option pricing with two stocks is considered by using stochastic dynamic theory at first time. The density function of stock process is obtained by using Fokker-Planck-Kolmogrov equation. Then, the price explicit expression of the European option is given. It provides a new method for European option pricing. | en_US |
| dc.language.iso | en_US | en_US |
| dc.publisher | Vidyasagar University , Midnapore , West-Bengal , India | en_US |
| dc.relation.ispartofseries | Journal of Physical Science;Vol 14 [2010] | |
| dc.subject | European option pricing | en_US |
| dc.subject | stochastic dynamic theory | en_US |
| dc.subject | Fokker-Planck- Kolmogrov equation | en_US |
| dc.title | A New Method for European Option Pricing With Two Stocks | en_US |
| dc.type | Article | en_US |
| Appears in Collections: | Journal of Physical Sciences Vol.14 [2010] | |
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