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Monte Carlo method for the calculation the price of multi-asset options

Abdujabar RasulovDepartment Mathematical modeling and informatics, University of World Economics and Diplomacy, Tashkent, UzbekistanMatyakub T. BakoyevDepartment Mathematical modeling and informatics, University of World Economics and Diplomacy, Tashkent, UzbekistanMakhmadrasul Y. RahmatovDepartment Mathematical modeling and informatics, University of World Economics and Diplomacy, Tashkent, Uzbekistan

AIP conference proceedingsjournal2018en

ABI

Annotatsiya

Monte Carlo methods can be particularly useful in problems such as option pricing, where the value of an option is required only at the time of striking, and for the state of the market at that time. In this work we consider the evaluation the price of European multi-asset options and applying Monte Carlo method for the solution to the system of stochastic differential equations.

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Mavzular

Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management Financial Risk and Volatility Modeling

Identifikatorlar

DOI: 10.1063/1.5044068

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