scientific article; zbMATH DE number 7161376
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Publication:5213126
DOI10.12941/jksiam.2019.23.237zbMath1431.91436MaRDI QIDQ5213126
Chaeyoung Lee, Hyundong Kim, Wonjin Lee, Jisang Lyu, Jintae Park, Hanbyeol Jang, Junseok Kim, Hyun-Soo Han, Sangkwon Kim, Hayeon Park, Yongho Choi
Publication date: 31 January 2020
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
Related Items (2)
Unnamed Item ⋮ FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES
Uses Software
Cites Work
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- Numerical solution of two asset jump diffusion models for option valuation
- Adaptive \(\theta \)-methods for pricing American options
- Monte Carlo methods for security pricing
- Finite difference scheme with a moving mesh for pricing Asian options
- Monte Carlo technique for prediction and filtering of non-linear stochastic processes
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- ADI finite difference schemes for option pricing in the Heston model with correlation
- AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS
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