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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2008 Volume 361, Pages 5–28 (Mi znsl2177)

Arbitrage-free option prices on global markets

Ya. Belopol'skaya, S. Filimonova

St. Petersburg State University of Architecture and Civil Engineering

Abstract: We consider explicit expressions for pricing straddles, strangle and risk reversals on currencies assuming two versions of market dynamics, namely the Garman–Kohlhagen model and the Heston model. The expressions derived in the paper are applicable for analytical and numerical pricing and for the model calibration to market data. Bibl. – 14 titles.

UDC: 519.21

Received: 06.11.2008


 English version:
Journal of Mathematical Sciences (New York), 2009, 159:3, 281–294

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