Economical numerical methods for solving two-dimensional equations of the black-scholes type
European options on several assets. The Black-Scholes-Merton model. Numerical method. Sparse grid combination technique. Applying the method to the option pricing problem. Solving the transformed equation. Monte Carlo simulations. Bermudan styles.
Подобные документы
The development of understanding the least squares and related statistical methods without becoming excessively mathematical. The review of key concepts in simple linear regression, matrix operations, and multiple regression. Geometric interpretations.
книга, добавлен 25.11.2013Consideration of mathematical modeling of the immune system in the process of disease with the immunodeficiency virus without treatment. Investigation of the dynamics of infection. Evaluation of the rate of reproduction of the virus in the blood.
статья, добавлен 20.05.2017Business statistics, mathematics, probability, models, and the real world. The use of statistics in business. Two ways of being wrong. Three Types of Probability. Counting possible outcomes: the rule of insufficient reason for classical probability.
книга, добавлен 25.11.2013The mathematical model of free market of three goods in the conditions of supply lag in the interval of discrete time with market parameters, demand vector and initial conditions is considered. The dynamics of allowable profit of the seller is obtained.
статья, добавлен 07.08.2022Methods of identification, evaluation, treatment and monitoring of operational risk have been generalized and systematized. The methodology for decision support system of operational risk management based on Bayesian techniques has been developed.
статья, добавлен 30.07.2016Application of mathematical and statistical means for adaptation of the enterprise to changes. Theoretical and methodological substantiation of mathematical and statistical methods, models and tools of this process. Evaluation of its effectiveness.
статья, добавлен 25.02.2021Identification of substantial changes in autocorrelation of BRICs’ stock markets index returns after experiencing these failures of financial systems in Russia, Brazil and Chinese. Testing for structural breaks in an ARMA-GARCH-model on the crisis dates.
статья, добавлен 28.01.2017Сущность проблемы маршрутизации автотранспорта. Разработка алгоритма поиска наилучшего решения задач маршрутизации с ограничениями заказчиков с помощью мета-эвристики поиска с запретами. Различные представление задачи Vehicle Routing Problem в виде графа.
реферат, добавлен 01.10.2016Presentation of two-step recommendation model based on Contrast Analysis and Matrix Factorization techniques which mutually complement each other. Providing brief overview of different Matrix Factorization approaches. Founding Influence search algorithm.
статья, добавлен 21.03.2016Description of the modern state of problem of feed is in preschool educational establishments. Decision of task of optimization of ration, making an example of calculation of plans of feed. Development of software product for the decision of this task.
статья, добавлен 28.09.2016Protocols for Rational Secret Sharing. Rational secret sharing, in the model of Halpern and Teague. Removing the Dealer. A protocol for completely fair secure function evaluation, in which all players receive output. General Secure Function Evaluation.
статья, добавлен 15.09.2012The theoretical foundations and applied problems of forecasting of man-made damage to the national economy and methods of management at the state level. Summary of theoretical principles of application of fuzzy sets as an effective mathematical tool.
статья, добавлен 14.09.2016Сonsidered and characteristic the process of evolution and prospects of mathematical methods and models in economic research. The prospects of the synergetic direction as a basic direction in modern economic and mathematical modeling are revealed.
статья, добавлен 24.10.2022Comprehensive professional assessment as an integral part of practical management. Methods of economic and mathematical modeling, which are widely used by appraisers in different countries. Possibility of using economic and mathematical modeling.
статья, добавлен 23.02.2021Operationalization of the content of the economic security of hospitality entities and the formation of a compliance-strategizing model as a multi-level mechanism in the conditions of digitalization. Study of the essence of economic security of business.
статья, добавлен 07.08.2022Main trends in the development of local markets for crop products. Analysis of methodical approaches to the application of econometric methods to determine promising directions of development of these markets. Systematization of the factor indicators.
статья, добавлен 28.09.2016Suggests an approach to the creation of the semantic and ontological model of knowledge of technical and technological potential of economic security of an enterprise. Offered to use mivar technologies to design technical potential of economic security.
статья, добавлен 25.09.2016Mathematical methods of the allocating resources: proportional and priority. Development a software product that allows adjusting the budget. Production and proper management. Modelling of information systems for managing the resource allocation.
статья, добавлен 26.09.2016