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• W4255815604 abstract "The objective of this chapter is to discuss numerical methods for valuing options. All of these methods are developed within the Black-Scholes/Merton (BSM) option valuation framework. The underlying asset's price is assumed to follow a geometric Brownian motion (i.e., to be log-normally distributed at any future instant in time), and a risk-free hedge between the option and its underlying asset(s) is possible. This chapter examines three different numerical methods—the binomial method, the trinomial, method and Monte Carlo simulation. All three methods involve replacing the BSM (Black-Scholes/Merton) assumption that the underlying asset price has continuous geometric Brownian diffusion with an assumption that underlying asset price jumps over small discrete time intervals during the option's life." @default.
• W4255815604 created "2022-05-12" @default.
• W4255815604 date "2012-01-02" @default.
• W4255815604 modified "2023-09-27" @default.
• W4255815604 title "Valuing Options Numerically" @default.
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• W4255815604 doi "https://doi.org/10.1002/9781119201984.ch9" @default.
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