Monte Carlo metode za vrednotenje ameriških opcij

Abstract

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Data

Language:	Slovenian
Year of publishing:	2018
Typology:	2.09 - Master's Thesis
Organization:	UL FMF - Faculty of Mathematics and Physics
Publisher:	[R. Grča]
UDC:	519.21
COBISS:	18361945
Views:	849
Downloads:	316
Average score:	0 (0 votes)
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Other data

Secondary language:	English
Secondary title:	Monte Carlo methods for American option pricing
Secondary keywords:	Monte Carlo;american option;Brownian motion;stochastic tree;stochastic mesh;Longstaff-Schwartz algorithm;
Type (COBISS):	Master's thesis/paper
Thesis comment:	Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages:	III, 52 str.
ID:	10932985