Application Monte Carlo Method for Evaluation the Price of Multi-Asset Rainbow Options

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：qlin08

【摘要】

：

　　In multidimensional case one of useful features Monte Carlo method allows the solution of boundary value problems to be found at just one point.This propert

【作者】

：

RasulovAbdujabar;

【机构】

：

Univ.of World Economy & Diplomacy

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　In multidimensional case one of useful features Monte Carlo method allows the solution of boundary value problems to be found at just one point.This property be useful in problems of option pricing,where the value of an option is required only at the time of striking.In this work we consider European multi-asset options which described by the system of stochastic differential equations and construct Monte Carlo algorithms for the solution.

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Application Monte Carlo Method for Evaluation the Price of Multi-Asset Rainbow Options

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