Sökning: "pricing formulas"
Hittade 3 avhandlingar innehållade orden pricing formulas.
Sammanfattning : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. LÄS MER
Sammanfattning : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. LÄS MER
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