An example case is considered to price an option at a maturity of T years - prices are simulated for Geometric brownian motion process at 2*T maturity, and Brownian Bridge is used to obtain prices at T maturity. Finally option prices are compared to Black Scholes values to verify results
標(biāo)簽：
considered
simulated
maturity
example
上傳時(shí)間：
2017-05-07
上傳用戶：hjshhyy
