Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation

DOI10.1016/J.MCM.2007.06.032zbMath1187.91140OpenAlexW1976813290MaRDI QIDQ2389843

Rachel Koskodan, Edward J. Allen

Publication date: 19 July 2009

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2007.06.032

zbMATH Keywords

modelingstochastic differential equationscall optionBlack-Scholes partial differential equationmutual fund

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Solving the random Cauchy one-dimensional advection-diffusion equation: numerical analysis and computing ⋮ Numerical solution of stochastic differential equations by second order Runge-Kutta methods ⋮ Shifted Legendre spectral collocation technique for solving stochastic Volterra-Fredholm integral equations ⋮ Mean square numerical solution of stochastic differential equations by fourth order Runge-Kutta method and its application in the electric circuits with noise

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Extrapolation of difference methods in option valuation
• Modeling with Itô Stochastic Differential Equations
• Lectures on the Mathematics of Finance
• On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
• Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations

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