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JOURNALS // Sibirskii Zhurnal Vychislitel'noi Matematiki // Archive

Sib. Zh. Vychisl. Mat., 2000 Volume 3, Number 1, Pages 1–10 (Mi sjvm350)

This article is cited in 1 paper

Monte Carlo method for share's price modeling

S. S. Artem'ev, A. A. Nosikova, S. V. Soloboev

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences

Abstract: The questions of share's price modeling by Monte Carlo method are discussed. Share's pricing model which is considered as possible alternative to the classical model is obtained. Some new characteristics of risk and profit for obtained model are derived. The results of the option premium calculation with the new basis model are considered.

UDC: 518:519.2

Received: 04.11.1998



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