Economical numerical methods for solving two-dimensional equations of the black-scholes type

European options on several assets. The Black-Scholes-Merton model. Numerical method. Sparse grid combination technique. Applying the method to the option pricing problem. Solving the transformed equation. Monte Carlo simulations. Bermudan styles.

Рубрика Экономико-математическое моделирование
Предмет Mathematical models of financial derivatives
Вид курсовая работа
Язык английский
Прислал(а) Zimin S.M.
Дата добавления 26.08.2016
Размер файла 1,5 M

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