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International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: Value Multidimensional European Option Based on Monte Carlo Simulation
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 3847-3850)
Author(s): Yuhan Hu, School of science, University of Science and Technology Liaoning, Anshan, China
Han Yan, School of statistics, Hunan University, Changsha, China
Weibing Feng, School of science,Xi’an University of Science and Technology, Xi’an, China
Abstract: Abstract: Using Ito formula, multidimensional European option pricing model have been established in this paper. At the same time, algorithm and general program have been gotten by Monte Carlo simulation, and a practical case have been calculated, the effect of simulation was compared.
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