ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS

Autor:	Socaciu Tiberiu, Danubianu Mirela, Maxim Ioan, Naaji Antoanela
Jazyk:	němčina
Rok vydání:	2009
Předmět:	lcsh:Finance lcsh:HG1-9999 lcsh:Business financial derivatives Black-Scholes PDE Garman PDE reccurence algorithm lcsh:HF5001-6182 jel:G13 jel:C69
Zdroj:	Annals of the University of Oradea: Economic Science, Vol 4, Iss 1, Pp 1044-1048 (2009)
ISSN:	1582-5450
Popis:	In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::098e6ecca035cc2c71f16295403080e4 http://steconomice.uoradea.ro/anale/volume/2009/v4-management-and-marketing/214.pdf Zobrazit plný text záznamu Plný text ve formátu PDF