ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS
In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a
| Main Authors: | , , , |
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| Format: | Article |
| Language: | deu |
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University of Oradea
2009-05-01
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| Series: | Annals of the University of Oradea: Economic Science |
| Subjects: | |
| Online Access: | http://steconomice.uoradea.ro/anale/volume/2009/v4-management-and-marketing/214.pdf |
| _version_ | 1818119228149989376 |
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| author | Maxim Ioan Naaji Antoanela Danubianu Mirela Socaciu Tiberiu |
| author_facet | Maxim Ioan Naaji Antoanela Danubianu Mirela Socaciu Tiberiu |
| author_sort | Maxim Ioan |
| collection | DOAJ |
| description | In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a |
| first_indexed | 2024-12-11T05:06:52Z |
| format | Article |
| id | doaj.art-3a66fa6f05954b25828b466b1a4f29a1 |
| institution | Directory Open Access Journal |
| issn | 1222-569X 1582-5450 |
| language | deu |
| last_indexed | 2024-12-11T05:06:52Z |
| publishDate | 2009-05-01 |
| publisher | University of Oradea |
| record_format | Article |
| series | Annals of the University of Oradea: Economic Science |
| spelling | doaj.art-3a66fa6f05954b25828b466b1a4f29a12022-12-22T01:20:01ZdeuUniversity of OradeaAnnals of the University of Oradea: Economic Science1222-569X1582-54502009-05-014110441048ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELSMaxim IoanNaaji AntoanelaDanubianu MirelaSocaciu TiberiuIn our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on ahttp://steconomice.uoradea.ro/anale/volume/2009/v4-management-and-marketing/214.pdffinancial derivatives, Black-Scholes PDE, Garman PDE, reccurence, algorithm |
| spellingShingle | Maxim Ioan Naaji Antoanela Danubianu Mirela Socaciu Tiberiu ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS Annals of the University of Oradea: Economic Science financial derivatives, Black-Scholes PDE, Garman PDE, reccurence, algorithm |
| title | ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS |
| title_full | ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS |
| title_fullStr | ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS |
| title_full_unstemmed | ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS |
| title_short | ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS |
| title_sort | algorithm for generalized garman equation in option pricing of a financial derivatives with stochastic volatility models |
| topic | financial derivatives, Black-Scholes PDE, Garman PDE, reccurence, algorithm |
| url | http://steconomice.uoradea.ro/anale/volume/2009/v4-management-and-marketing/214.pdf |
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