Valoración de opciones asiáticas con MATHEMATICA

  1. Domingo Israel Cruz Báez
  2. José Manuel González Rodríguez
Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

ISSN: 1575-605X

Year of publication: 2007

Issue: 8

Pages: 139-150

Type: Article

Export: RIS


En este trabajo, utilizando el programa Mathematica, proponemos una implementación del valor de una opción asiática aritmética, que tiene una gran precisión computacional. Para ilustrar este hecho, realizamos una comparativa con otros métodos bien conocidos en la literatura financiera.

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