scientific article; zbMATH DE number 1243617

MaRDI QIDQ4226183zbMATH OpenFDO

Authors William T. Shaw

Publication date 21 January 1999

zbMATH Keywords

binomial and trinomial tree modelsfinite-difference methodsgraphical methodshedgingMathematicaMonte Carlo methodsnumerical computationsoption pricingsymbolic computations

Mathematics Subject Classification ID

Symbolic computation and algebraic computation (68W30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(25)

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• Valuation of American passport option using a three-time level scheme
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• Existence of a fundamental solution of partial differential equations associated to Asian options
• BENCHOP -- the benchmarking project in option pricing
• A meshless method for Asian style options pricing under the Merton jump-diffusion model
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• Spline approximation method to solve an option pricing problem
• Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
• On an implementation of Black-Scholes model for estimation of call-and put-option via programming environment Mathematica
• Pricing and estimates of Greeks for passport option: A three time level approach
• An exact subexponential-time lattice algorithm for Asian options
• Prices and sensitivities of Asian options: A survey

Describes a project that uses

Uses Software

• Mathematica

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