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Algorithm For Generalized Garman Equation In Option Pricing Of A Financial Derivatives With Stochastic Volatility Models

Listed author(s):
  • Socaciu Tiberiu


    (Universitatea Suceava, Stiinte Economice)

  • Danubianu Mirela


    (Universitatea Suceava, Stiinta Calculatoarelor)

  • Maxim Ioan


    (Universitatea Suceava, DPPD)

  • Naaji Antoanela


    (Universitatea de Vest Vasile Goldis Arad, Informatica)

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

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Article 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)
Pages: 1044-1048

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Handle: RePEc:ora:journl:v:4:y:2009:i:1:p:1044-1048
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