Margrabejeva formula za valutne opcije : delo diplomskega seminarja

Mekinda, Aljaž (author), Velušček, Dejan (mentor)

• Language: Slovenian
• Keywords: finančna matematika, stohastične diferencialne enačbe, Itôva lema, izrek Girsanova, toplotna enačba, Black-Scholesova formula, Margrabejeva formula, diskontni proces, Monte-Carlo aproksimacija, Euler-Maruyama
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [A. Mekinda]
• Year: 2015
• Number of pages: 37 str.
• PID: 20.500.12556/RUL-97032
• UDC: 519.8
• COBISS.SI-ID: 17624409
• Publication date in RUL: 18.10.2017

Secondary language

• Language: English
• Title: Margrabe formula for exchange options
• Keywords: mathematics, stochastic differential equations, Itô lemma, Girsanov theorem, heat equation, Black-Scholes formula, Margrabe formula, state-price deflator, Monte-Carlo aproximation, Euler-Maruyama