OptAn - a pilot program system for analysis of options

MaRDI QIDQ2740093zbMATH OpenFDO

Authors D. S. Silvestrov, Victor G. Galochkin, Anatoliy Malyarenko

Publication date 16 September 2001

Published in Theory of Stochastic Processes (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodoptionsimulation algorithmsprogram system

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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Cited in

(4)

• Optimal stopping and reselling of European options
• OptAn
• The analytical finance package
• Convergence of option rewards for multivariate price processes

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