Modeling of behavior of the option. The formulation of the problem
Object of research: The creation of algorithm for mass computations of options price for formation of a riskless portfolio. The method is based on the generalization of the Black-Scholes method. The task is the modeling of behavior of all options and tools for their insurance. This task is character...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Institute of Computer Science
2015-06-01
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| Series: | Компьютерные исследования и моделирование |
| Subjects: | |
| Online Access: | http://crm.ics.org.ru/uploads/crmissues/crm_2015_3/15752.pdf |