Finite difference method for basket option pricing under Merton model
In financial markets , dynamics of underlying assets are often specified via stochasticdifferential equations of jump - diffusion type . In this paper , we suppose that two financialassets evolved by correlated Brownian motion . The value of a contingent claim written on twounderlying assets under j...
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| Asıl Yazarlar: | , |
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| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
Allameh Tabataba'i University Press
2021-03-01
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| Seri Bilgileri: | Mathematics and Modeling in Finance |
| Konular: | |
| Online Erişim: | https://jmmf.atu.ac.ir/article_12255_41605e7866f2a0ae3384482b44e6bec5.pdf |
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