南京信息工程大学学报
南京信息工程大學學報
남경신식공정대학학보
Journal of Nanjing University of Information Science & Technology
2015年
5期
408-413
,共6页
Black-Scholes偏微分方程,Black-Scholes公式%MonteCarlo模拟%Euler-Ma-ruyama方法
Black-Scholes偏微分方程,Black-Scholes公式%MonteCarlo模擬%Euler-Ma-ruyama方法
Black-Scholes편미분방정,Black-Scholes공식%MonteCarlo모의%Euler-Ma-ruyama방법
Black-Scholes PDE%Black-Scholes formulas%Monte Carlo simulations%Euler-Maruyama method
主要研究了 Black-Scholes 模型.与Black-Scholes期权定价公式相比,将再次强调和证实利用 R 软件 Monte Carlo 模拟的强大作用.
主要研究瞭 Black-Scholes 模型.與Black-Scholes期權定價公式相比,將再次彊調和證實利用 R 軟件 Monte Carlo 模擬的彊大作用.
주요연구료 Black-Scholes 모형.여Black-Scholes기권정개공식상비,장재차강조화증실이용 R 연건 Monte Carlo 모의적강대작용.
The key aim of this serial papers is to study various stochastic models in finance with emphasis on the Monte Carlo simulations with R for these models.In this paper,we studied the Black-Scholes model,which was origi-nally established by Black and Scholes and later developed by Merton.Our emphasis is still on the Monte Carlo sim-ulations with R.Compared with the Black-Scholes formulas on the option values,we show once again the power of the Monte Carlo simulations.
