ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS

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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Bibliographic Details
Published in:Analele Universităţii din Oradea. Ştiinţe economice 2009-05, Vol.4 (1), p.1044-1048
Main Authors: Maxim Ioan, Naaji Antoanela, Danubianu Mirela, Socaciu Tiberiu
Format: Article
Language:ger
Subjects:
financial derivatives, Black-Scholes PDE, Garman PDE, reccurence, algorithm
Online Access:Get full text
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Summary: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
ISSN:1222-569X
1582-5450