Review: option pricing models

MaRDI QIDQ5358883zbMATH OpenFDO

Authors Aasiya Lateef, C. K. Verma

Publication date 22 September 2017

Full work available at URL http://fcag-egypt.com/Journals/EJMAA/Vol3(2)_Papers/Volume3(2)_Paper8_Abstract.html

zbMATH Keywords

binomial-tree methodBlack-Scholes methodfinite difference methodsMonte Carlo methodoptions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(3)

• Option pricing methods: an overview
• Decision tree and Microsoft Excel approach for option pricing model
• Analyzing short-rate models for efficient bond option pricing: a review

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