Geodesic
Monte Carlo method for share's price modeling
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 3 (2000) no. 1, pp. 1-10 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

The questions of share's price modeling by Monte Carlo method are discussed. Share's pricing model which is considered as possible alternative to the classical model is obtained. Some new characteristics of risk and profit for obtained model are derived. The results of the option premium calculation with the new basis model are considered. 
@article{SJVM_2000_3_1_a0,
     author = {S. S. Artem'ev and A. A. Nosikova and S. V. Soloboev},
     title = {Monte {Carlo} method for share's price modeling},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
     pages = {1--10},
     year = {2000},
     volume = {3},
     number = {1},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJVM_2000_3_1_a0/}
}
TY  - JOUR
AU  - S. S. Artem'ev
AU  - A. A. Nosikova
AU  - S. V. Soloboev
TI  - Monte Carlo method for share's price modeling
JO  - Sibirskij žurnal vyčislitelʹnoj matematiki
PY  - 2000
SP  - 1
EP  - 10
VL  - 3
IS  - 1
UR  - http://geodesic.mathdoc.fr/item/SJVM_2000_3_1_a0/
LA  - ru
ID  - SJVM_2000_3_1_a0
ER  - 
%0 Journal Article
%A S. S. Artem'ev
%A A. A. Nosikova
%A S. V. Soloboev
%T Monte Carlo method for share's price modeling
%J Sibirskij žurnal vyčislitelʹnoj matematiki
%D 2000
%P 1-10
%V 3
%N 1
%U http://geodesic.mathdoc.fr/item/SJVM_2000_3_1_a0/
%G ru
%F SJVM_2000_3_1_a0
S. S. Artem'ev; A. A. Nosikova; S. V. Soloboev. Monte Carlo method for share's price modeling. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 3 (2000) no. 1, pp. 1-10. http://geodesic.mathdoc.fr/item/SJVM_2000_3_1_a0/

[1] Black F., Scholes M., “The pricing of options and corporate liabilities”, J. of Political Economy, 81 (1973), 637–659 | DOI

[2] Artemiev S. S., Averina T. A., Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations, VSP, Utrecht, 1997 | MR | Zbl

[3] Matacz A., Financial Modeling and Option Theory with Truncated Levy Process, Report 97-28, October, SMSUS, Sydney, 1997 | Zbl

[4] Paskov S., Traub J., Faster Valuation of Financial Derivatives, CU, New York, 1997

[5] Ermakov S. M., Mikhailov G. A., Statisticheskoe modelirovanie, Nauka, M., 1982 | MR

[6] Artemev S. S., Raschet optsionov Amerikanskogo stilya metodom Monte-Karlo, Preprint / RAN. Sib. Otd.-nie. VTs; 1065, Novosibirsk, 1996 | MR

[7] Shiryaev A. N., Kabanov Yu. M., Kramkov D. O., Melnikov A. V., “K teorii raschetov optsionov Evropeiskogo i Amerikanskogo tipov”, Teoriya veroyatnostei i ee primeneniya, 39:1 (1994), 22–129 | MR | MR | Zbl | Zbl