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1. 1. Turbo Warrant rebatesand finite differences : Pricing Turbo Warrant rebates based on one underlying stock with discrete dividendsin the Black-Scholes framework

   University essay from KTH/Numerisk analys, NA

   Author : Mikael Magnusson; [2014]
   Keywords : ;

   Abstract : Pricing Turbo Warrants with binomial trees can be a challenging or even impossible task. The presence of a barrier makes pricing highly sensitive to computational settings and numerical parameters, rather than the actual pricing mathematics. To remedy this, new numerical methods, of which Crank Nicolson is one such method, are investigated. READ MORE