EXCHANGE OPTION PRICING USING THE FINITE DIFFERENCE METHOD

被引：0
|
作者：
Svabova, Lucia [1 ]
机构：
[1] Univ Zilina, Fac Operat & Econ Transport & Commun, Dept Quantitat Methods & Econ Informat, Zilina 01026, Slovakia
来源：
FINANCE AND THE PERFORMANCE OF FIRMS IN SCIENCE, EDUCATION, AND PRACTICE | 2013年
关键词：
Exchange option; Black - Scholes model; Finite difference method; Option pricing;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper deals with pricing of selected options using the Finite Difference Method and with the comparison of the price fixed by this numerical method with the price set by an analytical formula. The basis for the derivatives pricing is the Black - Scholes partial differential equation. In the article we show how to use the selected numerical method for Option to Exchange One Asset for Another (or Exchange options). Also the examples of the application of method for the Exchange option with the selected parameters are presented. The results are compared with the price set directly by the analytical formula based on the Black - Scholes model.
引用
收藏
页码：782 / 789
页数：8
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