Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Abm Shahadat Hossain"'
Publikováno v:
International Journal of Statistics and Applied Mathematics. 7:94-106
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::653747c9fefe3f59f9aaa27d1a516360
https://doi.org/10.22271/maths.2022.v7.i3b.827
https://doi.org/10.22271/maths.2022.v7.i3b.827
Publikováno v:
GANIT: Journal of Bangladesh Mathematical Society. 41:26-40
In this work, we discuss some very simple and extremely efficient lattice models, namely, Binomial tree model (BTM) and Trinomial tree model (TTM) for valuing some types of exotic barrier options in details. For both these models, we consider the con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6605f6605f3889015badc6f26b4899e1
https://doi.org/10.3329/ganit.v41i1.55024
https://doi.org/10.3329/ganit.v41i1.55024
Autor:
ABM Shahadat Hossain, SM Arif Hossen
Publikováno v:
Dhaka University Journal of Science. 69:1-6
The main purpose of this dissertation is to study Monte Carlo (MC) and Quasi-Monte Carlo (QMC) methods for pricing financial derivatives. We estimate the Price of European as well as various path dependent options like Asian, Barrier and American opt
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dfc9c3860264d0ea0ee6784862cba786
https://doi.org/10.3329/dujs.v69i1.54617
https://doi.org/10.3329/dujs.v69i1.54617
Autor:
Abm Shahadat Hossain, Atoshi Das
Publikováno v:
GANIT: Journal of Bangladesh Mathematical Society. 40:145-155
In this paper, we have studied the optimal stopping of random process as well as the costing of Swing options, specially the valuation of electricity market which is considered to an American style option having multiple practicing rights. Since this
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::13f89a0a4fa24753cf7c6891f1a7d0db
https://doi.org/10.3329/ganit.v40i2.51317
https://doi.org/10.3329/ganit.v40i2.51317
Publikováno v:
GANIT: Journal of Bangladesh Mathematical Society. 40:13-27
In this paper, we have applied the finite difference methods (FDMs) for the valuation of European put option (EPO). We have mainly focused the application of Implicit finite difference method (IFDM) and Crank-Nicolson finite difference method (CNFDM)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef15319be72fa4e4400ac0642293d374
https://doi.org/10.3329/ganit.v40i1.48192
https://doi.org/10.3329/ganit.v40i1.48192
A Comparative Analysis of the Black-Scholes- Merton Model and the Heston Stochastic Volatility Model
Publikováno v:
GANIT: Journal of Bangladesh Mathematical Society. 39:127-140
This paper compares the performance of two different option pricing models, namely, the Black-Scholes-Merton (B-S-M) model and the Heston Stochastic Volatility (H-S-V) model. It is known that the most popular B-S-M Model makes the assumption that vol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cf70b64fe0fff20d6bbb2a1987c2af2f
https://doi.org/10.3329/ganit.v39i0.44168
https://doi.org/10.3329/ganit.v39i0.44168
Publikováno v:
Dhaka University Journal of Science. 67:105-110
In this paper we estimate European put option price by using awell-established option pricing model, namely, the Constant Elasticity of Variance (CEV) model for the elasticity parameter β< 2 and then compare it with the benchmark Black-Scholes (BS)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8c6ed24617eb0bbd8c8a5bcc99eac97
https://doi.org/10.3329/dujs.v67i2.54581
https://doi.org/10.3329/dujs.v67i2.54581
Publikováno v:
Universal Journal of Computational Mathematics. 3:50-55
This paper comparatively investigates some iterative methods and Monte Carlo simulation technique for the dynamics underlying the celebrated Black and Scholes (BS) model. In particular we attempt to answer the question: 'How many Monte Carlo replicat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4e77ae83aa5f256dcf22fb9d55e27d8c
https://doi.org/10.13189/ujcmj.2015.030402
https://doi.org/10.13189/ujcmj.2015.030402
Publikováno v:
GANIT: Journal of Bangladesh Mathematical Society. 29:87-98
In this paper, we investigate and compare the trajectories of a well-known prey-predator model named Lotka - Volterra Model including the effects of the trajectories of this model by changing its different parameters. The Computer Algebra System (CAS
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f5f7d62a507e083bec8e8773b60da05
https://doi.org/10.3329/ganit.v29i0.8518
https://doi.org/10.3329/ganit.v29i0.8518