On Pricing of an European Call Option in a Financial Market Model with Inertia
Journal: International Journal of Scientific Engineering and Research (IJSER) (Vol.8, No. 6)Publication Date: 2020-06-05
Authors : Jean-Pierre Lueteta Mulenda; Rostin Mabela Matendo; Jan Van Casteren; Walo Omana Rebecca; Yves Mangongo Tinda;
Page : 1-11
Keywords : Financial market; price model; financial market with jumps and European call option;
Abstract
In aim goal of the present article is to determine the price of call European option in financial market model with inert investment agents, as described in , to a mathematical model of a financial market with jumps. This model takes also into account a certain inertial behavior of investors during small time intervals. Next the pricing of an European call option in this type of financial market out for this mathematical model.
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