Valoración de opciones asiáticas con MATHEMATICA

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

ISSN: 1575-605X

Datum der Publikation: 2007

Ausgabe: 8

Nummer: 1

Seiten: 139-150

Art: Artikel

Andere Publikationen in: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA


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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