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

Author

Listed:
  • 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)

Abstract

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

Suggested Citation

  • Socaciu Tiberiu & Danubianu Mirela & Maxim Ioan & Naaji Antoanela, 2009. "Algorithm For Generalized Garman Equation In Option Pricing Of A Financial Derivatives With Stochastic Volatility Models," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 4(1), pages 1044-1048, May.
    • Handle: RePEc:ora:journl:v:4:y:2009:i:1:p:1044-1048
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    File URL: http://steconomice.uoradea.ro/anale/volume/2009/v4-management-and-marketing/214.pdf
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    More about this item

    Keywords

    financial derivatives; Black-Scholes PDE; Garman PDE; reccurence; algorithm;
    All these keywords.

    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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