CodePlexProject Hosting for Open Source Software

Market Models

Buyers have the choice of taking the prices presented by the seller. The price in the future is not known, but it can be modeled by a set, Omega. The simplest case is where Omega is simply the set of possible prices. More sophisticated models can incorporate information about other instruments or market fundamentals.

A market model is a function X:T x A x I x C x I x C -> B(Omega), where B(Omega) are the functions on Omega that are bounded. X(t; a, i, c; i', c') is the price at which the seller is willing to do the transaction (t; a, i, c; -aX, i', c').

Last edited Jul 8, 2011 at 1:29 AM by keithalewis, version 1