Sökning: "Cliquet options with global floor"
Hittade 2 avhandlingar innehållade orden Cliquet options with global floor.
1. On the pricing of cliquet options with global floor and cap
Sammanfattning : .... LÄS MER
2. Pricing of Some Path-Dependent Options on Equities and Commodities
Sammanfattning : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. LÄS MER
Resultatsidor:
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