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Conference publications

Abstracts

XXII conference

«Option» - software evaluation of financial options

Vasilyeva T.A., Zelenyi D.D.

400062, Volgograd, Universitetsky prospekt, 100, VolGU, IMIT

1 pp. (accepted)

Popularity options, financial derivatives is growing, encouraging the development of mathematical methods for solving problems to determine their value. Currently, the stock market has numerous types and styles of options: European, American, Call and Put, Vanilla and Exotic, etc. This work is dedicated to the creation of software for the evaluation of different types and styles options, as well as forecasting of such important indicators as market volatility, the Greeks, the yield curve, using different numerical methods.

Program complex «Options» offers a choice of the user several ways to predict the value selected in the menu type and style of the option. This method is based on a software Black-Scholes model [1] is a numerical solution of parabolic partial differential equations implicit difference scheme [2] for the calculation of the cost of European call and put options, as well as Asian option. In order to predict the price of the asset and the value of the options on the «Options» used Monte Carlo methods, binomial and trinomial methods. To construct the yield curve used methods of Nelson-Siegel, the Nelson-Siegel-Svensson and Nelson-Siegel 3-correction term.

The report will demonstrate the power of the PC «Options».

References

1. D. Black F. Sholes M. The Pricing of Options and Corporate Liabilities // Journal of Political Economy, 81, May / June 1973. P.637-659.

2. T.A. Vasilyeva, D.D.Zeleny, Calculator of the value of Asian options implicit difference schemes // Vestnik VolGU, Math. Physics, N 2 (21), 2014. pp 51-56.



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