IMPLEMENTATION OF ALGORITHMS FOR EVALUATION OF THE COST OF EXOTIC OPTIONS BY THE MONTE-CARLO METHOD IN THE MATLAB ENVIRONMENT

Королькова, Н.А.
Korolkova, N.A.

Publication date

May 2018

Publisher

Изд-во СамНЦ РАН

Abstract

В статье представлены два алгоритма оценки барьерного опциона методом Монте-Карло. Реализованные на языке MatLab методы позволяют добиться улучшения точности вычислений и значительно сокращают время расчетов. The article presents two algorithms for estimating a barrier option by the Monte Carlo method. The methods implemented in MatLab language allow to improve the accuracy of calculations and significantly reduce the calculation time

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IMPLEMENTATION OF ALGORITHMS FOR EVALUATION OF THE COST OF EXOTIC OPTIONS BY THE MONTE-CARLO METHOD IN THE MATLAB ENVIRONMENT

Abstract

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IMPLEMENTATION OF ALGORITHMS FOR EVALUATION OF THE COST OF EXOTIC OPTIONS BY THE MONTE-CARLO METHOD IN THE MATLAB ENVIRONMENT

Abstract

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