2 papers
math.PR2004
Stochastic Processes with Short Memory
D. N. Zhabin
The mathematical model of a linear system with the short memory about own stochastic behavior is proposed. It is assumed that the system is under a continual influence of independe…
math.PR2003
Exact Solution of Discrete Hedging Equation for European Option
D. E. Yakovlev, D. N. Zhabin
The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribut…