Filar, Jerzy A.; Kang, Boda; Korolkiewicz, Malgorzata - 2008
differential equations for a European call option price under both func-
tional forms of the relationship between the weather … method and a Monte Carlo sim-
ulation to numerically solve our option price PDE. In the discrete time
model, we derive the … distribution of the underlying asset and a formula
for the value of a European call option under the physical probability
measure …