Optimization of European call options considering physical delivery network and reservoir operation rules
نویسندگان
چکیده
منابع مشابه
Application of Monte Carlo Simulation in the Assessment of European Call Options
In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally def...
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Water reservoir programming studies aim to determine the final cultivated land area based on predefined agricultural models and water requirements. Dam utilization rule curve is also provided in such studies. The system of Dez dam water resources was simulated applying the basic information in order to determine the capability of its reservoir to provide the objectives of the performed plan. As...
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ژورنال
عنوان ژورنال: Water Resources Research
سال: 2011
ISSN: 0043-1397
DOI: 10.1029/2011wr010423