Open AccessAnalysis of pricing models for options
Author(s) -
Mantas Landauskas,
Eimutis Valakevičius
Publication year - 2009
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2009.56
Subject(s) - monte carlo method , markov process , binomial (polynomial) , statistical physics , computer science , lattice (music) , negative binomial distribution , mathematics , econometrics , statistics , poisson distribution , physics , acoustics
The program developed was effective in time of calculation and let us state, that binomial and Markovian models give similar results, but Markovian model is much slower when lattice has more than 25 periods. The crude Monte Carlo Model requires millions of paths to be generated in order to get high accuracy.