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Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports], 2014, Volume 11, Pages 1021–1034 (Mi semr547)  
This article is cited in 2 scientific papers (total in 2 papers)

Probability theory and mathematical statistics

The combined Monte-Carlo method to calculate the capital of the optimal portfolio in nonlinear models of financial indexes

G. I. Beliavsky, N. V. Danilova

Southern Federal University, Faculty of Mathematics, Mechanics and Computer Sciences
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Abstract: The calculations in models of random processes with influence of events are considered. The trajectories of these processes are continuous concatenation of trajectories of diffusion processes with constant coefficients. The suggested method is the combination of the Monte-Carlo method and exact calculation. The examples of popular models, for which investigated models can be used as the approximation, are presented.
Keywords: Monte-Carlo method, Black–Scholes formula, stochastic volatility.
Received April 15, 2014, published December 30, 2014
Document Type: Article
UDC: 519.2
MSC: 65С05
Language: Russian
Citation: G. I. Beliavsky, N. V. Danilova, “The combined Monte-Carlo method to calculate the capital of the optimal portfolio in nonlinear models of financial indexes”, Sib. Èlektron. Mat. Izv., 11 (2014), 1021–1034
Citation in format AMSBIB
\Bibitem{BelDan14}
\by G.~I.~Beliavsky, N.~V.~Danilova
\paper The combined Monte-Carlo method to calculate the capital of the optimal portfolio in nonlinear models of financial indexes
\jour Sib. \`Elektron. Mat. Izv.
\yr 2014
\vol 11
\pages 1021--1034
\mathnet{http://mi.mathnet.ru/semr547}
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