Algorithm For Generalized Garman Equation In Option Pricing Of A Financial Derivatives With Stochastic Volatility Models
AbstractIn 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
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Bibliographic InfoArticle provided by University of Oradea, Faculty of Economics in its journal The Journal of the Faculty of Economics - Economic.
Volume (Year): 4 (2009)
Issue (Month): 1 (May)
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financial derivatives; Black-Scholes PDE; Garman PDE; reccurence; algorithm;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other
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