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JOURNALS // Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports] // Archive

Sib. Èlektron. Mat. Izv., 2014 Volume 11, Pages 1021–1034 (Mi semr547)

This article is cited in 2 papers

Probability theory and mathematical statistics

The combined Monte-Carlo method to calculate the capital of the optimal portfolio in nonlinear models of financial indexes

G. I. Beliavsky, N. V. Danilova

Southern Federal University, Faculty of Mathematics, Mechanics and Computer Sciences

Abstract: The calculations in models of random processes with influence of events are considered. The trajectories of these processes are continuous concatenation of trajectories of diffusion processes with constant coefficients. The suggested method is the combination of the Monte-Carlo method and exact calculation. The examples of popular models, for which investigated models can be used as the approximation, are presented.

Keywords: Monte-Carlo method, Black–Scholes formula, stochastic volatility.

UDC: 519.2

MSC: 65С05

Received April 15, 2014, published December 30, 2014



© Steklov Math. Inst. of RAS, 2024