BALANCED MODEL OF EXCHANGE OPTION PRICE

Abstract

The article suggests a new approach to finding a theoretical price (value) of exchange option. In contrast to Black-Shows and binominal models the balanced model is deduced from balanced interests of both parties of economic relation. For short-term time periods it turns into a volatile model, which represents the most simple form of the option value model. Simplification of the model has a practical aspect for trade robots, whose speed of work depends not only on algorithms fixed in them but also on models of pricing.

Keywords

• exchange option
• option premium
• theoretical option price
• model of price (value) of option
• standard deviation of share price
• black-shows model
• binominal model