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Assessment of the dynamics of Asian and European option for the hybrid system

Название публикации: 
Assessment of the dynamics of Asian and European option for the hybrid system
Тип: 
Доклад на конференции
Авторы: 
A. V. Bogdanov, E. A. Stepanov, D. S. Khmel
Выходные данные публикации: 
International Conference on Computer Simulation in Physics and Beyond 2015 6–10 September 2015, Moscow, Russia
Дата публикации: 
2015-09
Аннотация: 
In this article the problem of performance optimization for estimation of European and Asian options pricing is discussed. The main goal is to substantially improve the performance in solving the problems on the hybrid system. The authors optimized the algorithms of the Monte Carlo method for solving stochastic differential equations and path integral derived from Black-Scholes model for pricing options.