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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2000, Volume 3, Number 1, Pages 1–10
(Mi sjvm350)
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This article is cited in 1 scientific paper (total in 1 paper)
Monte Carlo method for share's price modeling
S. S. Artem'ev, A. A. Nosikova, S. V. Soloboev Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
Abstract:
The questions of share's price modeling by Monte Carlo method are discussed. Share's pricing model which
is considered as possible alternative to the classical model is obtained. Some new characteristics of risk and
profit for obtained model are derived. The results of the option premium calculation with the new basis model
are considered.
Received: 04.11.1998
Citation:
S. S. Artem'ev, A. A. Nosikova, S. V. Soloboev, “Monte Carlo method for share's price modeling”, Sib. Zh. Vychisl. Mat., 3:1 (2000), 1–10
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Abstract page: | 1219 | Full-text PDF : | 1401 | References: | 46 |
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