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
Author
Per Hörfelt
Department of Mathematics
University of Gothenburg
Subject Categories
Computational Mathematics
Department of Mathematics, Chalmers University of Technology and Göteborg University: 2000:63