Vrednotenje ameriške prodajne opcije s pomočjo Gaussovih kvadraturnih formul : delo diplomskega seminarja

Tomc, Borut (author), Žagar, Emil (mentor), Toman, Aleš (co-mentor)

• Language: Slovenian
• Keywords: matematika, Black-Scholesov model, ameriška prodajna opcija, rekurzivni algoritem, numerična integracija, aproksimacija, Gauss-Legendrove kvadraturne formule, polinomi Čebiševa
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [B. Tomc]
• Year: 2014
• Number of pages: 33 str.
• PID: 20.500.12556/RUL-97064
• UDC: 519.6
• COBISS.SI-ID: 17272665
• Publication date in RUL: 18.10.2017

Secondary language

• Language: English
• Title: Valuing American put options using Gaussian quadrature
• Keywords: mathematics, Black-Scholes model, American put option, recursive algorithm, numerical integration, approximation, Gauss-Legendre quadrature formula, Chebyshev polynomials