تعداد نشریات | 36 |
تعداد شمارهها | 922 |
تعداد مقالات | 11,031 |
تعداد مشاهده مقاله | 11,615,563 |
تعداد دریافت فایل اصل مقاله | 10,671,592 |
Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation | ||
Computational Methods for Differential Equations | ||
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 19 فروردین 1400 اصل مقاله (1.4 MB) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22034/cmde.2021.38468.1692 | ||
نویسندگان | ||
Reza Hejazi ![]() ![]() | ||
Faculty of mathematical sciences, Shahrood university of technology, Shahrood, Semnan, Iran. | ||
چکیده | ||
In this paper option pricing is given via stochastic analysis and invariant subspace method. Finally numerical solutions is driven and shown via diagram. The considered model is one of the most well known non-linear time series model in which the switching mechanism is controlled by an unobservable state variable that follows a first-order Markov chain. Some analytical solutions for option pricing are given under our considered model. Then numerical solutions are presented via finite difference method. | ||
کلیدواژهها | ||
Option pricing؛ Markov chain؛ Geometric Brownian motion؛ finite difference method | ||
آمار تعداد مشاهده مقاله: 16 تعداد دریافت فایل اصل مقاله: 18 |