The fair price calculation for the (B,S)-market model with dividends

Mathematical Modelling: Methods, algorithms, technologies
Authors:
Danilova Natalya V. Grober Tatyana A.
Abstract:

In this paper the diffusion (B, S)-market model with stochastic changing of parameters and dividends is considered. Three ways of fair price calculating in the case of European call option for the «model with corridor» are described.