Stochastic modelling in finance and Monte Carlo simulations with R Part C:Stochastic Log-linear model

2025-5-29- 14

Home > Archive>Volume 7, Issue 3, 2015 >214-220

Stochastic modelling in finance and Monte Carlo simulations with R Part C:Stochastic Log-linear model
DOI:
                        
                    
CSTR:
                        
                    
Author:
                        MAO XuerongMAO Xuerong
Department of Mathematics and Statistics, University of Strathclyde, Glasgow, G1 1XT, Scotland, UK
Find this author on All Journals
Find this author on BaiDu
Search for this author on this site
LI XiaoyueLI Xiaoyue
School of Mathematics and Statistics, Northeast Normal University, Changchun 130024
Find this author on All Journals
Find this author on BaiDu
Search for this author on this site

                    
Affiliation:
Clc Number:
Fund Project:

Article

Figures

Metrics

Reference

Cited by

Materials

Comments

Abstract:

The key aim of this serial articles is to study various stochastic models in finance with emphasise on the Monte Carlo simulations with R for these models.This paper investigates the stochastic Log-linear (SLL) model and obtains the mean payoff of European options.Moreover,this paper discusses how to perform Monte Carlo simulations on the asset price.

Key words:the SLL model;Monte Carlo simulations;European options;the mean payoff

Get Citation

MAO Xuerong, LI Xiaoyue. Stochastic modelling in finance and Monte Carlo simulations with R Part C:Stochastic Log-linear model[J]. Journal of Nanjing University of Information Science & Technology,2015,7(3):214-220

Copy

Article Metrics

Abstract:
PDF:
HTML:
Cited by:

History

Received:September 13,2014
Revised:
Adopted:
Online: June 26,2015
Published:

Article QR Code

Address：No. 219, Ningliu Road, Nanjing, Jiangsu Province

Postcode：210044

Phone：025-58731025

Get Citation

Share

Article Metrics

History

Article QR Code