Essays about: "Ahmad Al-Kadri"

Found 1 essay containing the words Ahmad Al-Kadri.

  1. 1. Option pricing under Black-Scholes model using stochastic Runge-Kutta method.

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Ali Saleh; Ahmad Al-Kadri; [2021]
    Keywords : Runge–Kutta methods; Black–Scholes model; Monte Carlo simulation.;

    Abstract : The purpose of this paper is solving the European option pricing problem under the Black–Scholes model. Our approach is to use the so-called stochastic Runge–Kutta (SRK) numericalscheme to find the corresponding expectation of the functional to the stochastic differentialequation under the Black–Scholes model. READ MORE