Sökning: "discrete barrier options"

Hittade 2 avhandlingar innehållade orden discrete barrier options.

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

   Författare :Per Hörfelt; Göteborgs universitet; []
   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

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

   Författare :Per Hörfelt; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   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