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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2000, Volume 3, Number 1, Pages 1–10 (Mi sjvm350)  
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
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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
Bibliographic databases:
Document Type: Article
UDC: 518:519.2
Language: Russian
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
Citation in format AMSBIB
\Bibitem{ArtNosSol00}
\by S.~S.~Artem'ev, A.~A.~Nosikova, S.~V.~Soloboev
\paper Monte Carlo method for share's price modeling
\jour Sib. Zh. Vychisl. Mat.
\yr 2000
\vol 3
\issue 1
\pages 1--10
\mathnet{http://mi.mathnet.ru/sjvm350}
\zmath{https://zbmath.org/?q=an:0958.91013}
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    • This publication is cited in the following 1 articles:
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