Computational Finance

º» °ÁÂ´Â MATLAB, C, C++·Î ÁøÇàµË´Ï´Ù.

Âü°í¹®Çå:

**Black-Scholes ¹æÁ¤½ÄÀÇ ¼öÄ¡ÇØ¼® ÀÔ¹®(pdf) **Á¤´Ù·¡, ±èÁØ¼®, 2010.

**ÆÄ»ý»óÇ° C++ (pdf)** ÀÌÁ¾Èñ, ±è¼º±â, Á¤´Ù·¡, ±èÁØ¼®, 2011.

**PC Å¬·¯½ºÅÍ ±¸Ãà ¹× º´·Ä°è»ê **Á¤´Ù·¡, ÀÌµ¿¼±, ±è¼º±â, ±èÁØ¼®, 2011.

¿¬»ç |
ÀÏ½Ã |
°ÁÂÁ¦¸ñ | °ÁÂ³»¿ë | Matlab code | |
---|---|---|---|---|---|

1 ° | 2011.04.xx |
Black-Scholes Æí¹ÌºÐ¹æÁ¤½Ä¿¡ ´ëÇÑ À¯ÇÑÂ÷ºÐ¹ý | Taylor Á¤¸®¸¦ ÀÌ¿ëÇÑ À¯ÇÑÂ÷ºÐ¹ý À¯µµ: Non-uniform grid | ||

Crank-Nicolson ¹æ¹ý | |||||

Non-oscilatory solutionÀ» °®±âÀ§ÇÑ Á¶°Ç | |||||

2 ° | ±èÁØ¼® |
Far-field boundary condition for Black-Scholes equation | |||

3 ° | Á¤´Ù·¡ |
ADI for two asset ELS | |||

4 ° | Á¤´Ù·¡ |
OS for two asset ELS | |||

5 ° | ±è¼º±â |
PC Å¬·¯½ºÅÍ ±¸Ãà | |||

6 ° | ±èÁØ¼® |
Parallel numerical solution for Black-Scholes equation | |||