Sökning: "lookback options"
Hittade 3 avhandlingar innehållade orden lookback options.
1. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach
Sammanfattning : This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first three papers are analyzed in the famous Black and Scholes model, while the setup of the fourth paper involves an international environment and the presence of exchange rates. LÄS MER
2. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction
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. On the Pricing of Path-Dependent Options and Related Problems
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