BUSINESS INFORM №5-2011, Vol.1

ABSTRACTS AND INFORMATION ABOUT AUTHORS

22

Section: Economic and Mathematical Modeling
Burtnyak I. V., Malytska H. P.
Study of Volatility with the Help of Modification of Black-Scholes Model (p. 72 - 75)
In this article we use Hobson-Rogers model for values of indexes of the First Stock Trading System. It is the stochastic model of volatility which depends on the range of logarithmic price with exponentially weighted historic importance.

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. (2011) “Study of Volatility with the Help of Modification of Black-Scholes Model.” Business Inform 5(1):72–75.

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