Essays about: "Discretely Monitored"

Found 1 essay containing the words Discretely Monitored.

  1. 1. Pricing of Discretely Monitored Barrier Options - Improvement of an Approximation Formula

    University essay from Lunds universitet/Matematik LTH

    Author : Filip Andersson; Mikael Ögren; [2014]
    Keywords : Barrier Option; Approximation Formula; Discretely Monitored; Mathematics and Statistics;

    Abstract : There are many different methods for pricing discretely monitored barrier options. There is a trade-off, however, between speed and accuracy. The players on the financial markets would of course ideally want a method which is both exact and returns a price instantaneously. READ MORE