Sil'chenko M. Economic-mathematical modeling of the process of price formation in the option market

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0402U002145

Thesis Registration Form

0402U002145.pdf

Applicant for

Specialization

  • 08.03.02 - Економіко-математичне моделювання

13-06-2002

Specialized Academic Board

Д26.006.01

Essay

Pricing processes in the options market. Analyzing and modeling the processes of the options price formation under the conditions of programme trading. The methods of the research are methods of financial mathematics, Rote method, Bubnov-Galorkin method. Economic and mathematical model taking into account transaction costs has been constructed and its analytical solution has been found. The algorithms for finding approximate analytical solution of the model with feedback effect have been suggested. Practical recommendations and the program complex have been worked out. Financial market is the sphere of application.

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