Numerical Comparison Of Pricing Of European Call Options For Mean Reverting Processes

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dc.citation.journalTitleInternational Journal of Recent Research and Applied Studies (IJRRAS)
dc.contributor.authorFreddy H. Marin sanchezspa
dc.contributor.authorVargas, Camilospa
dc.contributor.authorPinzon, Margaritaspa
dc.contributor.departmentUniversidad EAFIT. Departamento de Economía y Finanzasspa
dc.contributor.researchgroupResearch in Spatial Economics (RISE)eng
dc.date.accessioned2021-04-12T14:26:17Z
dc.date.available2021-04-12T14:26:17Z
dc.date.issued2013-02-01
dc.description.abstractWe 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.eng
dc.identifierhttps://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=5676
dc.identifier.issn23494891
dc.identifier.urihttp://hdl.handle.net/10784/28048
dc.language.isoengeng
dc.sourceInternational Journal of Recent Research and Applied Studies (IJRRAS)
dc.subject.keywordOption pricingeng
dc.subject.keywordAdomian decomposition methodeng
dc.subject.keywordmeasuring changeeng
dc.subject.keywordfinite difference schemeeng
dc.subject.keywordbinomial treeseng
dc.subject.keywordMonte Carlo Simulation.eng
dc.titleNumerical Comparison Of Pricing Of European Call Options For Mean Reverting Processeseng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.typepublishedVersioneng
dc.type.localArtículospa

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