OptAn - a pilot program system for analysis of options The paper deals with the presentation of the pilot program system OptAn (Option Analyzer) for an analysis of different types of options. The system uses the advanced Monte Carlo methods and it is oriented towards two categories of users: first - researchers and second - students major in mathematical economics, analytical finance, etc. The authors give a description of the design principles of the OptAn program system as well as three main problems which can be solved by the existing variant of the system: (a) access to the current option data through the Internet; (b) solving the problem of optimal execution of American type options; (c) forecast of the options and share prices.
Keywords for this software
References in zbMATH (referenced in 4 articles , 1 standard article )
Showing results 1 to 4 of 4.
- Silvestrov, D. S.; Lundgren, R.: Convergence of option rewards for multivariate price processes (2012)
- Silvestrov, D. S.; Jönsson, H.; Stenberg, F.: Convergence of option rewards for Markov type price processes modulated by stochastic indices. II (2009)
- Jönsson, H.; Kukush, A. G.; Silvestrov, D. S.: Threshold structure of optimal stopping strategies for American type option. I. (2004)
- Silvestrov, Dmitrii S.; Galochkin, Victor G.; Malyarenko, Anatoliy A.: OptAn - a pilot program system for analysis of options (2001)