شماره ركورد كنفرانس :
3140
عنوان مقاله :
Distributions related to a Markov chain and Application in Finance
عنوان به زبان ديگر :
Distributions related to a Markov chain and Application in Finance
پديدآورندگان :
Vinkova Leda D نويسنده Faculty of Mathematics and Informatics - Sofia University Kl - Ohridski - Bulgaria , Radkov Petar نويسنده Faculty of Mathematics and Informatics - Sofia University Kl - Ohridski - Bulgaria
كليدواژه :
Option pricing formula , Correlated Bernoulli trials , Markov sequence , Markov binomial model
عنوان كنفرانس :
يازدهمين كنفرانس آمار ايران
چكيده لاتين :
In this paper, we introduce a sequence of dependent Bernoulli trials, which forms a two state homogeneous Markov chain. Then we define two types of geometric and negative binomial distributions, as well as binomial distribution, related to this sequence. Some properties of the defined distributions are given. Recursion formulas and probability mass functions are derived. The application of the defined distributions is related to the Markov binomial model of financial market. The European call option pricing formula, according to this model is a generalization of the classical Cox - Ross -- Rubinstain formula (1979).
شماره مدرك كنفرانس :
4219389
