ResearchBib Share Your Research, Maximize Your Social Impacts
Sign for Notice Everyday Sign up >> Login

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:

Authors : ; ; ; ; ;

Page : 1-11

Keywords : Financial market; price model; financial market with jumps and European call option;

Source : Downloadexternal Find it from : Google Scholarexternal


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.

Last modified: 2021-07-08 16:48:16