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BUSINESS INFORM №3-2012

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13

Section: Economic and Mathematical Modeling
Burtnyak I. V., Malytska H. P.
The model of path-depended volatility for the index PFTS (p. 48 - 50)

In this paper, the proposed generalized model Hobson-Rogers and introduced a new model of dependence of volatility to past asset prices. Our idea is to consider flexibleschemes weighing corresponding finite horizont of time in the past. The model has the unique advantage over others when determining prices.
Keywords: path-depended volatility, model, flexible weighing system
Bibl.: 2.

Burtnyak Ivan V. – Doctor of Sciences (Economics), Associate Professor, Professor, Department of Economic Cybernetics, Vasyl Stefanyk Precarpathian National University (57 Shevchenka Str., Ivano-Frankіvsk, 76018, Ukraine)
Email: [email protected]
Malytska Hanna P. – Candidate of Sciences (Physics and Mathematics), Associate Professor, Department of Mathematical and Functional Analysis, Vasyl Stefanyk Precarpathian National University (57 Shevchenka Str., Ivano-Frankіvsk, 76018, Ukraine)

Article is written in Ukrainian
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Reference to this article:
Burtnyak, Ivan V., and Malytska, Hanna P. (2012) “The model of path-depended volatility for the index PFTS.” Business Inform 3:48–50.


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