Abstract: The basic option valuation ways in the tasks of risk management were reviewed. A new adaptive model of financial security returns was presented. A comparative analysis of the new model and existing models was provided.
Keywords: risk control, derivatives, levy processes, option valuation
Authors and copyright holders:
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For citation:
Efremov V. A., Mitsel A. A. The option valuation under Levy processes. Doklady Tomskogo gosudarstvennogo universiteta sistem upravleniya i radioelektroniki, 2012, no. 2(26), – p. 1. pp. 248–253.
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