ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS

In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a

MoreLess

Year of publication:	2009
Authors:	Tiberiu, Socaciu ; Mirela, Danubianu ; Ioan, Maxim ; Antoanela, Naaji
Published in:	Annals of Faculty of Economics. - Facultatea de Ştiinţe Economice. - Vol. 4.2009, 1, p. 1044-1048
Publisher:	Facultatea de Ştiinţe Economice
Subject:	financial derivatives \| Black-Scholes PDE \| Garman PDE \| reccurence \| algorithm

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; C69 - Mathematical Methods and Programming. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008512025