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An example case is considered to price an option at a maturity of T years - prices are simulated for

  • 資源大小:2 K
  • 上傳時間: 2017-05-07
  • 上傳用戶:ydyzd_2008
  • 資源積分:2 下載積分
  • 標(biāo)      簽: considered simulated maturity example

資 源 簡 介

An example case is considered to price an option at a maturity of T years - prices are simulated for Geometric brownian motion process at 2*T maturity, and Brownian Bridge is used to obtain prices at T maturity. Finally option prices are compared to Black Scholes values to verify results

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