delo diplomskega seminarja
Borut Tomc (Author), Emil Žagar (Mentor), Aleš Toman (Co-mentor)

Abstract

Vrednotenje ameriške prodajne opcije s pomočjo Gaussovih kvadraturnih formul

Keywords

matematika;Black-Scholesov model;ameriška prodajna opcija;rekurzivni algoritem;numerična integracija;aproksimacija;Gauss-Legendrove kvadraturne formule;polinomi Čebiševa;

Data

Language: Slovenian
Year of publishing:
Typology: 2.11 - Undergraduate Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [B. Tomc]
UDC: 519.6
COBISS: 17272665 Link will open in a new window
Views: 784
Downloads: 487
Average score: 0 (0 votes)
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Other data

Secondary language: English
Secondary title: Valuing American put options using Gaussian quadrature
Secondary keywords: mathematics;Black-Scholes model;American put option;recursive algorithm;numerical integration;approximation;Gauss-Legendre quadrature formula;Chebyshev polynomials;
Type (COBISS): Final seminar paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages: 33 str.
ID: 10911281
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