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Monte Carlo metode za vrednotenje ameriških opcij : magistrsko delo
Grča, Rok (Author), Knez, Marjetka (Mentor) More about this mentor... This link opens in a new window

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Language:Slovenian
Keywords:Monte Carlo, ameriška opcija, Brownovo gibanje, stohastično drevo, stohastična mreža, Longstaff-Schwartzev algoritem
Work type:Master's thesis/paper (mb22)
Tipology:2.09 - Master's Thesis
Organization:FMF - Faculty of Mathematics and Physics
Year:2018
Publisher:[R. Grča]
Number of pages:III, 52 str.
UDC:519.21
COBISS.SI-ID:18361945 Link is opened in a new window
Views:510
Downloads:237
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Secondary language

Language:English
Title:Monte Carlo methods for American option pricing
Keywords:Monte Carlo, american option, Brownian motion, stochastic tree, stochastic mesh, Longstaff-Schwartz algorithm

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