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Conference publicationsOption price dynamics for BLEND-distributed stocksRussia, Tomsk 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. |