Examinando por Autor "Freddy H. Marin sanchez"
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Ítem European Call Option Pricing using the Adomian Decomposition Method(2014-01-01) Bohner, Martin; Freddy H. Marin sanchez; RodrÍguez, StefanÍa; Universidad EAFIT. Departamento de Economía y Finanzas; Research in Spatial Economics (RISE)This article explores the Adomian decomposition method applied to the pricing of European call options in a risk-neutral world with an asset that pays and one that does not pay dividends...Ítem European Call Option Pricing using the Adomian Decomposition Method(2014-01-01) Bohner, Martin; Freddy H. Marin sanchez; RodrÍguez, StefanÍa; Universidad EAFIT. Escuela de Ciencias; Modelado MatemáticoThis article explores the Adomian decomposition method applied to the pricing of European call options in a risk-neutral world with an asset that pays and one that does not pay dividends...Ítem Numerical Comparison Of Pricing Of European Call Options For Mean Reverting Processes(2013-02-01) Freddy H. Marin sanchez; Vargas, Camilo; Pinzon, Margarita; Universidad EAFIT. Departamento de Economía y Finanzas; Research in Spatial Economics (RISE)We propose a change of probability measure that allows to find a partial differential equation for valuing European call options on processes mean reversion, whose solution is approximated numerically by Adomian decomposition method.Ítem Numerical Comparison Of Pricing Of European Call Options For Mean Reverting Processes(2013-02-01) Freddy H. Marin sanchez; Vargas, Camilo; Pinzon, Margarita; Universidad EAFIT. Escuela de Ciencias; Modelado MatemáticoWe propose a change of probability measure that allows to find a partial differential equation for valuing European call options on processes mean reversion, whose solution is approximated numerically by Adomian decomposition method.