ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS

Tiberiu Socaciu (), Mirela Danubianu, Maxim Ioan () and Naaji Antoanela ()
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Maxim Ioan: Universitatea Suceava, DPPD
Naaji Antoanela: Universitatea de Vest Vasile Goldis Arad, Informatica

Annals of Faculty of Economics, 2009, vol. 4, issue 1, 1044-1048

Abstract: In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a

Keywords: financial derivatives; Black-Scholes PDE; Garman PDE; reccurence; algorithm (search for similar items in EconPapers)
JEL-codes: C69 G13 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ora:journl:v:4:y:2009:i:1:p:1044-1048

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