delo diplomskega seminarja
Živa Petkovšek (Author), Dejan Velušček (Mentor)

Abstract

Longstaff-Schwartzev algoritem za vrednotenje ameriških opcij

Keywords

finančna matematika;ameriške opcije;metode Monte Carlo;Hilbertov prostor;metoda najmanjših kvadratov;Longstaff-Schwartzev algoritem;

Data

Language: Slovenian
Year of publishing:
Typology: 2.11 - Undergraduate Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [Ž. Petkovšek]
UDC: 519.8
COBISS: 16946009 Link will open in a new window
Views: 942
Downloads: 507
Average score: 0 (0 votes)
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Other data

Secondary language: English
Secondary title: Longstaff Schwartz pricing of American options
Secondary keywords: mathematics;American options;Monte Carlo methods;least-square method;Hilbert space;Longstaff-Schwartz algorithm;
Type (COBISS): Final seminar paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages: 35 str.
ID: 10911173