| Title |
Pasirinkimo sandorių įkainojimo Markovo modelis / |
| Another Title |
Markov model of option pricing. |
| Authors |
Valakevičius, Eimutis |
| DOI |
10.15388/LMR.2007.24235 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys: Lietuvos matematikų draugijos XLVIII konferencijos mokslo darbai / konferenciją organizavo Lietuvos matematikų draugija ir Vilniaus Gedimino technikos universitetas (2007 m. birželio 27–28 d.).. Vilnius : Matematikos ir informatikos institutas. 2007, t. 47, spec. nr., p. 395-401.. ISSN 0132-2818 |
| Keywords [eng] |
assets dynamics ; mixture of exponential distributions ; Markov model of asset prices ; numerical option pricing |
| Abstract [eng] |
In the article is proposed the algorithm of modeling the dynamics of asset prices by Markov process with continuous time and countable set of states and numerical option pricing. |
| Published |
Vilnius : Matematikos ir informatikos institutas |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2007 |
| CC license |
|
