Analysis of pricing models for options

Mantas  Landauskas; Eimutis  Valakevičius

doi:10.15388/LMR.2009.56

Articles

Mantas Landauskas

Kauno technologijos universitetas

Eimutis Valakevičius

Kauno technologijos universitetas

Published 2009-12-20

https://doi.org/10.15388/LMR.2009.56

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Keywords

option
binomial model
Monte Carlo method
Markov chains

How to Cite

Landauskas, M. and Valakevičius, E. (2009) “Analysis of pricing models for options”, Lietuvos matematikos rinkinys, 50(proc. LMS), pp. 316–321. doi:10.15388/LMR.2009.56.

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Abstract

The program developed was effective in time of calculation and let us state, that binomial and Markovian models give similar results, but Markovian model is much slower when lattice has more than 25 periods. The crude Monte Carlo Model requires millions of paths to be generated in order to get high accuracy.

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