OptAn - a pilot program system for analysis of options (Q2740093)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: OptAn - a pilot program system for analysis of options |
scientific article; zbMATH DE number 1646496
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OptAn - a pilot program system for analysis of options |
scientific article; zbMATH DE number 1646496 |
Statements
16 September 2001
0 references
option
0 references
Monte Carlo method
0 references
simulation algorithms
0 references
program system
0 references
0.76455015
0 references
0 references
0.7488915
0 references
0.74488884
0 references
0.74488807
0 references
0.7434627
0 references
OptAn - a pilot program system for analysis of options (English)
0 references
The paper deals with the presentation of the pilot program system OptAn (Option Analyzer) for an analysis of different types of options. The system uses the advanced Monte Carlo methods and it is oriented towards two categories of users: first - researchers and second - students major in mathematical economics, analytical finance, etc. The authors give a description of the design principles of the OptAn program system as well as three main problems which can be solved by the existing variant of the system: (a) access to the current option data through the Internet; (b) solving the problem of optimal execution of American type options; (c) forecast of the options and share prices.
0 references
