Language: | Slovenian |
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Year of publishing: | 2015 |
Typology: | 2.11 - Undergraduate Thesis |
Organization: | UL FMF - Faculty of Mathematics and Physics |
Publisher: | [A. Mekinda] |
UDC: | 519.8 |
COBISS: | 17624409 |
Views: | 877 |
Downloads: | 571 |
Average score: | 0 (0 votes) |
Metadata: |
Secondary language: | English |
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Secondary title: | Margrabe formula for exchange options |
Secondary keywords: | mathematics;stochastic differential equations;Itô lemma;Girsanov theorem;heat equation;Black-Scholes formula;Margrabe formula;state-price deflator;Monte-Carlo aproximation;Euler-Maruyama; |
Type (COBISS): | Final seminar paper |
Thesis comment: | Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja |
Pages: | 37 str. |
ID: | 10911249 |