BALANCED MODEL OF EXCHANGE OPTION PRICE
https://doi.org/10.21686/2413-2829-2016-4-46-55
Abstract
The article suggests a new approach to finding a theoretical price (value) of exchange option. In contrast to Black-Shows and binominal models the balanced model is deduced from balanced interests of both parties of economic relation. For short-term time periods it turns into a volatile model, which represents the most simple form of the option value model. Simplification of the model has a practical aspect for trade robots, whose speed of work depends not only on algorithms fixed in them but also on models of pricing.
About the Author
Vladimir A. Galanov
Plekhanov Russian University of Economics
Russian Federation
Russian Federation
Doctor of Economics, Professor, Professor of the Department for Risk Management, Insurance and Securities of the PRUE
36 Stremyanny Lane, Moscow, 117997, Russian Federation
References
1. Galanov V. A. Sushchnost' aktsii [The Essence of Share].Vestnik of the Plekhanov Russian University of Economics, 2014, No. 8 (74), pp. 24–37. (In Russ.).
2. Kolokolov A. V. Model' rascheta tsen evropeyskikh optsionov v diskretnom vremeni, osnovannaya na ustoychivykh zakonakh raspredeleniya [The Model of Calculating Prices of European Options in Discreet Time Based on Fixed Laws of Distribution]. Vestnik of the Plekhanov Russian University of Economics, 2013, No. 7 (61), pp. 102–113. (In Russ.).
Review
For citations:
Galanov V.A. BALANCED MODEL OF EXCHANGE OPTION PRICE. Vestnik of the Plekhanov Russian University of Economics. 2016;(4):46-55. (In Russ.) https://doi.org/10.21686/2413-2829-2016-4-46-55
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