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Calculation of Option Prices using Methods of Spectral Analysis

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Author Info

  • Burtnyak Ivan Vladimirovich

    (Precarpathian National University named after V. Stefanyk)

  • Malitskaya Anna P.

    (Precarpathian National University named after V. Stefanyk)

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    Abstract

    The article develops a systematic method of calculation of an approximate price for a wide range of securities with the help of instruments of spectral analysis, singular and regular wave theory. Price of options depend on stochastic volatility, which depends on a method. Finding the price is reduced to solution of a problem of finding own values and own functions of a specific equation.

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    File URL: http://www.business-inform.net/pdf/2013/4_0/152_157.pdf
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    Bibliographic Info

    Article provided by RESEARCH CENTRE FOR INDUSTRIAL DEVELOPMENT PROBLEMS of NAS (KHARKIV, UKRAINE), Kharkiv National University of Economics in its journal Business Inform.

    Volume (Year): (2013)
    Issue (Month): 4 ()
    Pages: 152_157

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    Handle: RePEc:idp:bizinf:y:2013:i:4:p:152_157

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    Web page: http://www.business-inform.net

    Related research

    Keywords: stochastic volatility; local volatility; spectral theory; singular wave theory; regular wave theory;

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