Publication: Alternative methods to derive the black-scholes-merton equation
| dc.contributor.author | Nattakorn Phewchean | en_US |
| dc.contributor.author | Renato Costa | en_US |
| dc.contributor.author | Masnita Misiran | en_US |
| dc.contributor.author | Yongwimon Lenbury | en_US |
| dc.contributor.other | Mahidol University | en_US |
| dc.contributor.other | Universiti Utara Malaysia | en_US |
| dc.contributor.other | PERDO | en_US |
| dc.date.accessioned | 2020-12-28T04:58:01Z | |
| dc.date.available | 2020-12-28T04:58:01Z | |
| dc.date.issued | 2020-01-01 | en_US |
| dc.description.abstract | © 2020, North Atlantic University Union NAUN. All rights reserved. We investigate the derivation of option pricing involving several assets following the Geometric Brownian Motion (GBM). First, we propose some derivations based on the basic ideas of the assets. Next, we consider the trivial case where we have n assets. Finally, we consider different drifts, volatilities and Wiener processes but now from n stochastic assets taking into account a fixed-income. | en_US |
| dc.identifier.citation | International Journal of Circuits, Systems and Signal Processing. Vol.14, (2020), 821-825 | en_US |
| dc.identifier.doi | 10.46300/9106.2020.14.106 | en_US |
| dc.identifier.issn | 19984464 | en_US |
| dc.identifier.other | 2-s2.0-85097209741 | en_US |
| dc.identifier.uri | https://repository.li.mahidol.ac.th/handle/20.500.14594/60449 | |
| dc.rights | Mahidol University | en_US |
| dc.rights.holder | SCOPUS | en_US |
| dc.source.uri | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85097209741&origin=inward | en_US |
| dc.subject | Computer Science | en_US |
| dc.subject | Engineering | en_US |
| dc.title | Alternative methods to derive the black-scholes-merton equation | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| mu.datasource.scopus | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85097209741&origin=inward | en_US |