Title :
Evaluation Modelling and Optimization of Investment Options
Author_Institution :
Coll. of Econ. & Manage., China Agric. Univ.
Abstract :
This paper discusses evaluation modelling of investment options in path integral framework with the help of Geske-Johnson´s analytical approximation for American options. Detailed procedure is presented with assumption that underlying assets price follows a geometric Brownian motion, the particular algorithm is summarized and the evaluation is optimized by using Lagrangian interpolation polynomial approximation.
Keywords :
Brownian motion; integral equations; interpolation; investment; optimisation; polynomial approximation; American options; Geske-Johnson analytical approximation; Lagrangian interpolation polynomial approximation; assets price; evaluation modelling; geometric Brownian motion; investment options; optimization; path integral framework; Analytical models; Approximation algorithms; Boundary conditions; Educational institutions; Integral equations; Investments; Optimization methods; Physics; Pricing; Probability density function; evaluation; investment options; path integral; polynomial approximation;
Conference_Titel :
Modelling, Simulation and Optimization, 2008. WMSO '08. International Workshop on
Conference_Location :
Hong Kong
Print_ISBN :
978-0-7695-3484-8
DOI :
10.1109/WMSO.2008.18
