Algorithm of Calculation of Combined Commodity Options Value

General exotic commodity options involving more than one price process are modeled by an ordinary stochastic differential equation and mostly priced by either closed formula if one is derived or via Monte Carlo simulation. In this paper we derive some helpful simplification for general class of exot...

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Veröffentlicht in:	Journal of contemporary mathematical analysis 2022-02, Vol.57 (1), p.59-65
Hauptverfasser:	Kechejian, H., Ohanyan, V. K., Bardakhchyan, V. G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Commodities Commodity options Computer simulation Differential equations Mathematics Mathematics and Statistics Monte Carlo simulation
Online-Zugang:	Volltext
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