Sökning: "Per Hörfelt"

Hittade 2 avhandlingar innehållade orden Per Hörfelt.

  1. 1. On the pricing of barrier options and related problems

    Författare :Per Hörfelt; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; barrier options; discrete barrier options; rabate options; Brownian motion; heavy traffic approximation; random walk; trinomial method; explicit finite difference method; heat equation; discrete barrier options;

    Sammanfattning : .... LÄS MER

  2. 2. On the Pricing of Path-Dependent Options and Related Problems

    Författare :Per Hörfelt; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :;

    Sammanfattning : The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Scholes model. The thesis focuses mainly on the three different classes of path-dependent options: barrier, Asian, and lookback options. The thesis consists of eight chapters. LÄS MER