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1. Exponential Fitting, Finite Volume and Box Methods in Option Pricing.
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)Abstract : In this thesis we focus mainly on special finite differences and finite volume methods and apply them to the pricing of barrier options.The structure of this work is the following: in Chapter 1 we introduce the definitions of options and illustrate some properties of vanilla European options and exotic options. READ MORE
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