A Problem of Accuracy of Computer Calculations

Bilous, Rostyslav; Krykun, Ivan H.

doi:10.31586/ujcsc.2022.531

Cited by 3 publications

(3 citation statements)

References 7 publications

(8 reference statements)

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“…The question of using the results mentioned in the paper, in particular, in the modelling of random and natural processes will be enhanced using results and methods of recent studies of applications of random and natural processes [9,10,11,12,13,14,15,16,17,18,19] and computer technologies [20,21].…”

Section: Discussion and Prospects For Further Researchmentioning

confidence: 99%

Some Software Application of the Monte Carlo Method

Krykun,

Lukhverchyk

2023

UJCSC

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We study the using the Monte Carlo method and its application. Below are several examples of software implementations of the Monte Carlo method for performing calculations that will allow us to determine the necessary information in cases where probability can be applied. Below is a software implementation of the examples in the C# programming language. The programs have a desktop interface and allow us to calculate such values as the number π and the time required to perform certain actions.

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Section: Discussion and Prospects For Further Researchmentioning

confidence: 99%

Some Software Application of the Monte Carlo Method

Krykun,

Lukhverchyk

2023

UJCSC

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“…The proposed model of barrier options pricing will be enhanced using recent studies of applications of random processes [9][10][11][12][13][14][15][16][17] and computer technologies [15][16][17][18][19].…”

Section: Conclusion and Prospects For Further Researchmentioning

confidence: 99%

The Black-Scholes Exotic Barrier Option Pricing Formula

Krykun

2023

JML

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The paper considers a specific type of such financial instrument as an option, namely an exotic barrier call option of the European type. Exotic options are gaining popularity among ordinary investors due to the development of information and telecommunication technologies, thanks to which such specific financial instruments as options have become readily available. We investigate the hedging problem for such options with some restrictions on the payment function and the availability of dividend payment on a risky asset in the classical Black-Scholes model. An analogue of the Black-Scholes formula for the mentioned variant of the exotic barrier is proved. In the future, it is planned to generalize the obtained results for put options and for more general payment functions.

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“…The study of world electoral systems and the search for ways to detect and to avoid possible election manipulations will be enhanced using results and methods of recent studies of applications of random processes [17,18,19,20,21,22,23,24,25] and computer technologies [24,26,27].…”

Section: Conclusion and Prospects For Further Researchmentioning

confidence: 99%