Probabilistic Possibilistic Models

European Call Option On Two Shares Without Dividends

I. P. Shestakov

Department of Probability Theory and Mathematical Statistics, Peoples' Friendship University of Russia.

Abstract: In this paper we consider european call option on two shares without dividends. We construct price change models of risky underlining assets. We derive option pricing formulas.

Keywords: European call option, extended Cox - Ross - Rubinstein formula, modified extended Cox - Ross - Rubinstein formula.

UDC: 519.2

Received: 10.11.2012
Revised: 20.03.2013