Sökning: "Cliquet options with global floor"

Hittade 2 avhandlingar innehållade orden Cliquet options with global floor.

1. 1. On the pricing of cliquet options with global floor and cap

   Författare :Mats Kjaer; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : .... LÄS MER

3. 2. Pricing of Some Path-Dependent Options on Equities and Commodities

   Författare :Mats Kjaer; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

   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