Wyniki wyszukiwania - Biblioteka Nauki

Ten serwis zostanie wyłączony 2025-02-11.

Nowa wersja platformy, zawierająca wyłącznie zasoby pełnotekstowe, jest już dostępna.
Przejdź na https://bibliotekanauki.pl

Ograniczanie wyników

3 Milian A.

Znaleziono wyników: 3

Liczba wyników na stronie

Wyniki wyszukiwania

Sortuj według:

Ogranicz wyniki do:

On one-dimensional diffusion processes living in a bounded space interval

100%

Milian A.

1992

tom 57

nr 1

13-19

We prove that under some assumptions a one-dimensional Itô equation has a strong solution concentrated on a finite spatial interval, and the pathwise uniqueness holds.

Stochastic viability and a comparison theorem

100%

Milian A.

Colloquium Mathematicum

1995

tom 68

nr 2

297-316

We give explicit necessary and sufficient conditions for the viability of polyhedrons with respect to Itô equations. Using the viability criterion we obtain a comparison theorem for multi-dimensional Itô processes

Simple chooser options with Maple

100%

Milian A.

This paper discusses Monte Carlo simulations of the Black-Scholes model. It is introduced with the simple example of the pricing of ‘European call options on a no-dividend stock and the simulation results are compared with an analytical solution. Monte-Carlo methods are then used to price simple chooser options. Moreover, it is shown that the distribution of rate of the return from investment in simple chooser options is significantly dependent on the strike price. The presented simulation is performed using MAPLE.