delo diplomskega seminarja
Aljaž Mekinda (Author), Dejan Velušček (Mentor)

Abstract

Margrabejeva formula za valutne opcije

Keywords

finančna matematika;stohastične diferencialne enačbe;Itôva lema;izrek Girsanova;toplotna enačba;Black-Scholesova formula;Margrabejeva formula;diskontni proces;Monte-Carlo aproksimacija;Euler-Maruyama;

Data

Language: Slovenian
Year of publishing:
Typology: 2.11 - Undergraduate Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [A. Mekinda]
UDC: 519.8
COBISS: 17624409 Link will open in a new window
Views: 877
Downloads: 571
Average score: 0 (0 votes)
Metadata: JSON JSON-RDF JSON-LD TURTLE N-TRIPLES XML RDFA MICRODATA DC-XML DC-RDF RDF

Other data

Secondary language: English
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