Sökning: "lookback option"

Hittade 2 avhandlingar innehållade orden lookback option.

1. 1. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction

   Författare :Georgios Foufas; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; finite element method; Galerkin; duality; a posteriori error estimation; adaptivity; option pricing; Greeks; Brownian motion; European option; barrier option; lookback option; Asian option; average option; POD; model reduction; balanced truncation; lookback option;

   Sammanfattning : In this thesis we develop an adaptive finite element method for pricing of several path-dependent options including barrier options, lookback options, and Asian options. The options are priced using the Black-Scholes PDE-model, and the resulting PDE:s are of parabolic type in one spatial dimension with different boundary conditions and jump conditions at monitoring dates. 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