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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