Essays about: "two-dimensional Euler algorithm"

Found 1 essay containing the words two-dimensional Euler algorithm.

  1. 1. Pricing of exotic options under the Kou model by using the Laplace transform

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Gayk Dzharayan; Elena Voronova; [2011]
    Keywords : Financial Mathematics; Double exponential jump-diusion model; Kou model; Laplace transform; Laplace transform inversion; two-dimensional Euler algorithm; two-asset correlation options.;

    Abstract : In this thesis we present the Laplace transform method of option pricing and it's realization, also compare it with another methods. We consider vanilla and exotic options, but more attention we pay to the two-asset correlation options. READ MORE