Valuation of standard call options using the Euler-Maruyama method with strong approximation
Year of publication: |
2023
|
---|---|
Authors: | Suescún-Díaz, Daniel ; Girón, Luis Eduardo |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 4, p. 1545-1560
|
Subject: | Black-Scholes formula | Euler-Maruyama method | European call option | Numerical simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Simulation | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |
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