ЗНАХОДЖЕННЯ ЦІНИ ОПЦІОНУ З МУЛЬТИПЛІКАТИВНОЮ ВОЛАТИЛЬНІСТЮ ЗА ДОПОМОГОЮ РІВНЯННЯ КОЛМОГОРОВА

Abstract

This article discusses methods for calculating the approximate prices for a broad class of securities using the tools of spectral analysis, singular and regular wave theory in the case of exposure fast and slow operating factors. Finding the price is reduced to solving the problem of finding eigenvalues and certain functions of the equation. Combining the methods of spectral theory of singular and regular disturbances can calculate the approximate price of financial instruments as expansions by eigenfunctions working with infinitesimal generators of twodimensional diffusion