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JOURNALS // Avtomatika i Telemekhanika // Archive

Avtomat. i Telemekh., 2018 Issue 4, Pages 123–137 (Mi at14674)

This article is cited in 1 paper

Control in Social Economic Systems

On computing the price of financial instruments in foreign currency

R. V. Ivanov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

Abstract: We derive analytic formulas for the prices of financial instruments in foreign currency within the framework of a stochastic model defined as the sum of a variance gamma and a Poisson process. We obtain our results for various types of dependencies in the model. The resulting formulas contain values of hypergeometric functions. Practical applications of our results include control over the activity of investors in financial markets.

Keywords: variance gamma process, call option, Poisson process, price of derivative, hypergeometric function.

Presented by the member of Editorial Board: B. M. Miller

Received: 20.02.2017


 English version:
Automation and Remote Control, 2018, 79:4, 679–690

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