Software Interoperability in Computational Finance, Part II: Applications to Derivatives Pricing in QuantLib, C++11, and C#
نویسندگان
چکیده
منابع مشابه
Computational Finance – The Martingale Measure and Pricing of Derivatives
At t = 0, two instruments are available. Any amount (even fractional) of either instrument may be sold or puschased at the specified market price i.e., arbitrary short or long positions are allowed. A risk free asset or bond, B, and a stock, S. At t = 0 (the first period), the bond is worth B(0), and, the stock is worth S(0) = 100. At t = T (the second period), the economy can be in one of two ...
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ژورنال
عنوان ژورنال: Wilmott
سال: 2018
ISSN: 1540-6962
DOI: 10.1002/wilm.10708