On the pricing of barrier options and related problems
Licentiate thesis, 2000

discrete barrier options

trinomial method

rabate options

heat equation

barrier options

explicit finite difference method

heavy traffic approximation

Brownian motion

random walk


Per Hörfelt

Department of Mathematics

University of Gothenburg

Subject Categories

Computational Mathematics

Department of Mathematics, Chalmers University of Technology and Göteborg University: 2000:63

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