Conference publications

Option price dynamics for BLEND-distributed stocks

Shapovalov A. V., Trifonov A. Yu., Masalova E. A.

Russia, Tomsk

"Математика. Компьютер. Образование". Cб. трудов XIII международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2006. Vol. 1, 376pp. Pp. 338-346.

A modified Black-Scholes model is considered in which prices of portfolio stocks are described by the blend of normal – lognormal distribution. The final (payoff) conditions are taken for the Black-Scholes equation in the form that empirically considers nonlinear character of income averaging. The time-inverse Green function is found for the option price in the model considered.

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